GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Argentina — 0.3%
	231,072	Adecoagro SA		2,273,749
		Australia — 0.2%
	320,055	Clean TeQ Water Ltd. * (a)		60,631
	269,918	IGO Ltd.		1,264,336
	1,399,037	Sunrise Energy Metals Ltd. * (a)		471,283
		Total Australia		1,796,250
		Brazil — 0.5%
	234,404	SLC Agricola SA		795,498
	383,300	Suzano SA		3,554,954
		Total Brazil		4,350,452
		Canada — 7.5%
	476,293	Anaergia, Inc. * (b)		104,837
	51,100	Capstone Copper Corp. *		359,925
	644,338	First Quantum Minerals Ltd.		8,277,896
	1,925,700	Greenlane Renewables, Inc. *		134,225
	2,585,087	Ivanhoe Mines Ltd. – Class A *		37,326,763
	1,008,392	Largo, Inc. *		2,226,978
	1,333,508	Li-Cycle Holdings Corp. *		686,357
	1,428,500	NexGen Energy Ltd. *		11,130,761
	225,000	Northland Power, Inc. (a)		3,846,436
		Total Canada		64,094,178
		China — 0.8%
	1,278,000	CMOC Group Ltd. – Class H		1,182,372
	1,585,176	Yutong Bus Co. Ltd. – Class A		5,338,634
		Total China		6,521,006
		Denmark — 1.4%
	21,052	NKT AS *		1,828,014
	12,595	ROCKWOOL AS – B Shares		5,299,229
	160,687	Vestas Wind Systems AS *		4,508,614
		Total Denmark		11,635,857
		Finland — 1.8%
	202,051	Kemira OYJ		4,762,475
	525,838	Neste OYJ		11,039,580
		Total Finland		15,802,055
		France — 12.2%
	43,332	Legrand SA		4,705,111
	335,626	Nexans SA		40,848,028
	15,775	Schneider Electric SE		3,935,549
	263,855	STMicroelectronics NV		11,110,928
	1,719,657	Valeo SE		21,269,276
	610,969	Veolia Environnement SA		20,453,311
	114,522	Waga Energy SA *		2,246,134
		Total France		104,568,337

Shares		Description	Value ($)
		Germany — 3.3%
	177,301	E.ON SE		2,374,436
	443,570	Infineon Technologies AG		17,946,152
	105,636	Knorr-Bremse AG		8,135,340
		Total Germany		28,455,928
		Ireland — 0.5%
	49,220	Kingspan Group PLC		4,741,755
		Italy — 1.1%
	348,420	Enel SpA		2,529,775
	106,857	Prysmian SpA		7,027,955
		Total Italy		9,557,730
		Japan — 4.0%
	231,300	GS Yuasa Corp.		4,914,917
	101,600	Organo Corp.		5,722,946
	828,300	Renesas Electronics Corp.		15,262,764
	321,300	Yokogawa Electric Corp.		8,275,683
		Total Japan		34,176,310
		Mexico — 2.0%
	2,019,769	Grupo Mexico SAB de CV – Series B		12,461,581
	2,801,626	Orbia Advance Corp. SAB de CV		4,592,180
		Total Mexico		17,053,761
		Netherlands — 0.9%
	112,529	Arcadis NV		7,384,193
		Norway — 1.9%
	713,034	Austevoll Seafood ASA		5,818,589
	25,987	Bakkafrost P/F		1,431,801
	245,670	Mowi ASA		4,417,778
	69,860	Salmar ASA		4,265,918
		Total Norway		15,934,086
		Russia — 0.0%
	7,221,500	GMK Norilskiy Nickel PAO (c)		112,541
	3	MMC Norilsk Nickel PJSC ADR * (c)		—
	120,856	PhosAgro PJSC (c)		79,363
	2,335	PhosAgro PJSC GDR (c) (d)		512
		Total Russia		192,416
		South Korea — 6.2%
	87,240	CS Wind Corp.		3,344,445
	139,878	LG Chem Ltd.		35,749,755
	50,924	Samsung SDI Co. Ltd.		13,913,173
		Total South Korea		53,007,373
		Spain — 2.9%
	20,833	Acciona SA		2,674,675
	137,622	Endesa SA		2,740,999
	203,512	Iberdrola SA		2,686,106

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	145,558	Redeia Corp. SA		2,623,198
	1,070,490	Solaria Energia y Medio Ambiente SA * (a)		13,784,711
		Total Spain		24,509,689
		Switzerland — 0.2%
	25,328	Landis & Gyr Group AG		2,165,337
		Ukraine — 0.1%
	219,994	Kernel Holding SA *		622,962
		United Kingdom — 0.7%
	460,000	Lifezone Holdings Ltd. *		4,149,200
	180,911	National Grid PLC		2,049,720
		Total United Kingdom		6,198,920
		United States — 49.1%
	51,600	Advanced Drainage Systems, Inc.		8,952,084
	342,762	Aemetis, Inc. * (a)		1,182,529
	66,932	AGCO Corp.		7,183,812
	31,600	Albemarle Corp.		3,873,844
	78,773	Alcoa Corp.		3,487,281
	1,004,370	Ameresco, Inc. – Class A *		36,679,592
	917,361	Arcadium Lithium PLC * (a)		4,063,909
	649,400	Array Technologies, Inc. *		9,208,492
	363,291	BorgWarner, Inc.		12,954,957
	149,800	Carrier Global Corp.		9,465,862
	5,153,389	Clean Energy Fuels Corp. *		16,130,108
	122,103	CNH Industrial NV		1,283,115
	17,300	Constellation Energy Corp.		3,758,425
	198,839	Corteva, Inc.		11,123,054
	966,210	Darling Ingredients, Inc. *		39,034,884
	6,722	Deere & Co.		2,519,137
	34,967	Edison International		2,687,214
	47,803	EnerSys		5,155,075
	106,922	Enphase Energy, Inc. *		13,675,324
	69,739	Exelon Corp.		2,618,699
	68,795	First Solar, Inc. *		18,695,729
	126,956	Freeport-McMoRan, Inc.		6,694,390
	1,171,395	Gevo, Inc. *		800,883
	5,761,291	GrafTech International Ltd. *		9,506,130
	1,249,021	Green Plains, Inc. *		21,445,691
	22,100	Hubbell, Inc.		8,594,469
	9,600	Lennox International, Inc.		4,824,960
	54,748	Mueller Water Products, Inc. – Class A		1,016,123
	89,500	NEXTracker, Inc. – Class A *		4,937,715
	86,348	ON Semiconductor Corp. *		6,306,858
	68,700	Ormat Technologies, Inc.		5,179,980

Shares		Description	Value ($)
		United States — continued
	25,109	Owens Corning		4,546,487
	86,172	Pentair PLC		7,012,677
	183,950	PotlatchDeltic Corp. – (REIT)		7,860,183
	207,996	Sensata Technologies Holding PLC		8,594,395
	711,376	SolarEdge Technologies, Inc. *		34,850,310
	3,757,850	Sunrun, Inc. *		54,338,511
	59,195	TE Connectivity Ltd.		8,861,491
	20,000	Valmont Industries, Inc.		5,028,000
	50,400	Veralto Corp.		4,968,432
	57,100	Weyerhaeuser Co. – (REIT)		1,714,713
		Total United States		420,815,524
		TOTAL COMMON STOCKS (COST $975,375,705)		835,857,868
		PREFERRED STOCKS (e) — 1.9%
		Chile — 1.9%
	348,004	Sociedad Quimica y Minera de Chile SA Sponsored ADR		16,251,787
		TOTAL PREFERRED STOCKS (COST $18,577,609)		16,251,787
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	654,839	GMO U.S. Treasury Fund (f)		3,274,193
		Total United States		3,274,193
		TOTAL MUTUAL FUNDS (COST $3,274,193)		3,274,193
		RIGHTS/WARRANTS — 0.0%
		United Kingdom — 0.0%
	52,765	National Grid PLC, expires 06/10/24 *		131,816
		Total United Kingdom		131,816
		TOTAL RIGHTS/WARRANTS (COST $0)		131,816
		TOTAL INVESTMENTS — 99.9% (Cost $997,227,507)		855,515,664
		Other Assets and Liabilities (net) — 0.1%		932,757
		TOTAL NET ASSETS — 100.0%		$856,448,421

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
PhosAgro PJSC GDR	08/09/19	$	36,037	0.0%	$	512

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) Investment valued using significant unobservable inputs.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) The security is restricted as to resale.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) All or a portion of this security is purchased with collateral from securities loaned.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.9%
		Brazil — 6.6%
	12,456	Alupar Investimento SA		68,983
	63,057	Ambev SA		138,822
	192,110	Banco do Brasil SA		992,215
	55,700	Banco Santander Brasil SA		294,364
	5,100	BB Seguridade Participacoes SA		31,372
	4,154	BrasilAgro - Co. Brasileira de Propriedades Agricolas		20,086
	39,687	Cia de Saneamento de Minas Gerais Copasa MG		152,296
	15,162	Cia De Sanena Do Parana		78,858
	180,231	CPFL Energia SA		1,170,443
	21,910	Cury Construtora e Incorporadora SA		76,901
	75,780	Engie Brasil Energia SA		625,475
	8,277	GPS Participacoes e Empreendimentos SA		29,225
	117,000	Magazine Luiza SA *		276,073
	14,864	Odontoprev SA		31,591
	45,261	Petroleo Brasileiro SA Sponsored ADR		703,808
	92,621	Petroleo Brasileiro SA		717,910
	1,349	Sao Martinho SA		6,972
	23,357	Transmissora Alianca de Energia Eletrica SA		152,484
	223,051	Ultrapar Participacoes SA		984,230
	39,890	Vale SA Sponsored ADR		480,674
	67,700	Vibra Energia SA		277,716
		Total Brazil		7,310,498
		Chile — 0.1%
	1,083,762	Colbun SA		141,667
		Colombia — 0.0%
	3,904	Interconexion Electrica SA ESP		19,342
		Czech Republic — 0.2%
	9,419	Moneta Money Bank AS		41,252
	331	Philip Morris CR AS		217,983
		Total Czech Republic		259,235
		Egypt — 0.6%
	72,126	Abou Kir Fertilizers & Chemical Industries		94,578
	219,851	Commercial International Bank - Egypt (CIB)		363,795
	307,417	Eastern Co. SAE		179,706
	46,203	EFG Holding SAE *		15,070
	50,158	ElSewedy Electric Co.		47,242
	12,173	Misr Fertilizers Production Co. SAE		11,294
		Total Egypt		711,685
		Greece — 0.1%
	1,006	JUMBO SA		28,846
	5,125	OPAP SA		81,470
		Total Greece		110,316

Shares		Description	Value ($)
		Hungary — 3.7%
	37,241	Magyar Telekom Telecommunications PLC		101,786
	40,455	MOL Hungarian Oil & Gas PLC		314,678
	6,280	Opus Global Nyrt *		6,662
	70,829	OTP Bank Nyrt		3,420,351
	12,895	Richter Gedeon Nyrt		326,874
		Total Hungary		4,170,351
		India — 17.0%
	805	Amara Raja Energy & Mobility Ltd.		11,415
	2,795	Ashoka Buildcon Ltd. *		6,142
	31,865	Berger Paints India Ltd.		175,604
	284,829	Bharat Petroleum Corp. Ltd.		2,146,381
	78,754	Brightcom Group Ltd. *		10,428
	40,127	Castrol India Ltd.		94,270
	38,030	Chambal Fertilisers & Chemicals Ltd.		177,088
	17,837	Chennai Petroleum Corp. Ltd.		195,965
	5,532	Cipla Ltd.		96,216
	2,268	Colgate-Palmolive India Ltd.		71,919
	8,402	Coromandel International Ltd.		131,367
	8,607	Dr Reddy’s Laboratories Ltd.		596,866
	2,651	Firstsource Solutions Ltd.		5,866
	17,324	GHCL Ltd.		104,660
	9,274	Godawari Power & Ispat Ltd.		108,482
	17,476	Great Eastern Shipping Co. Ltd.		226,832
	16,406	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		124,911
	16,505	Gujarat Pipavav Port Ltd.		38,511
	110,352	Gujarat State Fertilizers & Chemicals Ltd.		279,522
	5,693	Gujarat State Petronet Ltd.		19,839
	16,331	HCL Technologies Ltd.		259,609
	1,184	ICICI Securities Ltd.		10,149
	524,007	Indiabulls Housing Finance Ltd.		993,348
	438,022	Indian Oil Corp. Ltd.		854,194
	53,590	Indraprastha Gas Ltd.		283,740
	7,960	Infosys Ltd. Sponsored ADR (a)		133,330
	246,851	ITC Ltd.		1,263,996
	41,846	JM Financial Ltd. *		39,557
	1,519	Kaveri Seed Co. Ltd.		15,452
	1,754	KNR Constructions Ltd.		6,679
	1,459	KRBL Ltd.		4,672
	5,082	LT Foods Ltd.		12,576
	8,639	Mahanagar Gas Ltd.		134,493
	434,784	Manappuram Finance Ltd.		886,160
	773	Motilal Oswal Financial Services Ltd.		20,603
	10,319	Muthoot Finance Ltd.		209,231
	18,841	NCC Ltd.		65,198
	2,802	Nippon Life India Asset Management Ltd.		20,329
	688,918	NMDC Ltd.		2,152,169
	995,889	Oil & Natural Gas Corp. Ltd.		3,178,669
	42,830	One 97 Communications Ltd. *		185,105
	96,623	Petronet LNG Ltd.		344,146
	556,497	Power Grid Corp. of India Ltd.		2,064,039

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		India — continued
	37,881	PTC India Ltd.		95,518
	10,158	Rashtriya Chemicals & Fertilizers Ltd.		18,797
	1,717	Reliance Industries Ltd.		58,866
	16,831	RITES Ltd.		141,825
	232	Sanofi India Ltd.		24,283
	19,514	Shipping Corp. of India Ltd.		57,654
	12,445	Shriram Finance Ltd.		356,180
	41,040	Sun TV Network Ltd.		322,562
	3,275	Tata Consultancy Services Ltd.		145,383
	2,543	Triveni Engineering & Industries Ltd.		10,015
	25,215	Ujjivan Small Finance Bank Ltd.		15,089
	2,648	West Coast Paper Mills Ltd.		18,980
	1,846	Zensar Technologies Ltd.		13,577
		Total India		19,038,457
		Indonesia — 5.9%
	1,730,000	AKR Corporindo Tbk. PT		170,484
	409,300	Aneka Tambang Tbk. PT		36,945
	32,900	Astra International Tbk. PT		8,702
	193,400	Bank BTPN Syariah Tbk. PT		13,875
	4,030,000	Bank Central Asia Tbk. PT		2,292,959
	2,642,200	Bank Mandiri Persero Tbk. PT		958,235
	4,212,400	Bank Negara Indonesia Persero Tbk. PT		1,143,030
	5,723,600	Bank Rakyat Indonesia Persero Tbk. PT		1,534,149
	42,300	Indah Kiat Pulp & Paper Tbk. PT *		23,751
	29,400	Indofood CBP Sukses Makmur Tbk. PT		17,645
	59,900	Indofood Sukses Makmur Tbk. PT		21,661
	786,800	Medco Energi Internasional Tbk. PT		68,007
	406,200	Perusahaan Gas Negara Tbk. PT		39,536
	1,188,400	Sarana Menara Nusantara Tbk. PT		50,461
	666,700	Semen Indonesia Persero Tbk. PT		143,187
	159,300	Unilever Indonesia Tbk. PT		30,644
		Total Indonesia		6,553,271
		Malaysia — 0.0%
	2,300	United Plantations Bhd.		12,291
		Mexico — 6.9%
	112,895	Arca Continental SAB de CV		1,157,329
	93,309	Banco del Bajio SA		323,102
	7,283	Bolsa Mexicana de Valores SAB de CV		13,238
	8,279	Coca-Cola Femsa SAB de CV Sponsored ADR		775,411
	539,400	Credito Real SAB de CV SOFOM ER * (b)		—
	1,516	Fomento Economico Mexicano SAB de CV Sponsored ADR		173,764
	1,082	GCC SAB de CV		11,833
	11,135	Gentera SAB de CV		17,201
	387	Gruma SAB de CV – Class B		7,535
	342	Grupo Aeroportuario del Centro Norte SAB de CV ADR		27,979

Shares		Description	Value ($)
		Mexico — continued
	10,087	Grupo Aeroportuario del Centro Norte SAB de CV		103,459
	2,442	Grupo Aeroportuario del Sureste SAB de CV – Class B		82,432
	381,083	Grupo Financiero Banorte SAB de CV – Class O		3,620,025
	18,667	Grupo Mexico SAB de CV – Series B		115,172
	46,796	Kimberly-Clark de Mexico SAB de CV – Class A		98,410
	3,384	Orbia Advance Corp. SAB de CV		5,547
	24,069	Qualitas Controladora SAB de CV (a)		308,890
	18,042	Regional SAB de CV		156,297
	179,635	Wal-Mart de Mexico SAB de CV		674,961
		Total Mexico		7,672,585
		Pakistan — 0.8%
	87,620	Attock Refinery Ltd.		119,755
	164,283	Engro Fertilizers Ltd.		94,449
	184,646	Fauji Fertilizer Bin Qasim Ltd.		22,115
	104,856	Fauji Fertilizer Co. Ltd.		53,440
	27,396	Habib Bank Ltd.		11,207
	55,239	Hub Power Co. Ltd.		28,497
	3,509	Lucky Cement Ltd.		11,323
	2,961	Mari Petroleum Co. Ltd.		29,644
	505,991	Oil & Gas Development Co. Ltd.		242,868
	6,540	Pakistan Oilfields Ltd.		11,524
	489,959	Pakistan Petroleum Ltd.		210,991
	130,034	SUI Northern Gas Pipeline		30,922
	45,725	United Bank Ltd.		36,745
		Total Pakistan		903,480
		Philippines — 0.0%
	30,600	Aboitiz Equity Ventures, Inc.		18,328
		Poland — 1.7%
	365	Budimex SA		69,344
	90	Grupa Kety SA		19,774
	95,807	ORLEN SA		1,551,929
	31,942	Pepco Group NV *		197,111
	294	Santander Bank Polska SA		37,908
	3,787	XTB SA		64,116
		Total Poland		1,940,182
		Qatar — 0.6%
	142,854	Industries Qatar QSC		453,835
	2,517	Qatar Electricity & Water Co. QSC		10,381
	3,518	Qatar Fuel QSC		13,015
	17,704	Qatar Gas Transport Co. Ltd.		19,395
	14,483	Qatar Islamic Bank SAQ		68,687
	26,563	Qatar National Bank QPSC		98,739
		Total Qatar		664,052

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Russia — 0.4%
	4,036,000	Alrosa PJSC (b) (c)		33,364
	434,347	Etalon Group PLC GDR (Registered) * (b)		4,062
	131,280	Evraz PLC * (b)		3,424
	236,860,000	Federal Grid Co.-Rosseti PJSC * (b)		2,664
	102,255	Gazprom Neft PJSC (b)		7,609
	897,812	Gazprom PJSC * (b)		12,426
	783,200	GMK Norilskiy Nickel PAO (b)		12,206
	6,151,400	Inter RAO UES PJSC * (b)		2,774
	122,088	LUKOIL PJSC (b)		99,223
	4,327,340	Magnitogorsk Iron & Steel Works PJSC * (b) (c)		26,335
	5	MMC Norilsk Nickel PJSC ADR * (b)		—
	88,090	Moscow Exchange MICEX-Rates PJSC (b)		2,331
	93,370	Novatek PJSC (b)		11,174
	1,403,510	Novolipetsk Steel PJSC (b)		29,984
	4,917	PhosAgro PJSC (b)		3,229
	95	PhosAgro PJSC GDR (b) (c)		21
	11,902	Polyus PJSC * (b) (c)		16,073
	1	Polyus PJSC GDR (Registered) (b) (c)		1
	50,074,400	RusHydro PJSC (b)		3,496
	3,446,432	Sberbank of Russia PJSC * (b) (c)		119,102
	140,607	Severstal PAO GDR (Registered) * (b) (c)		27,656
	2,387,800	Surgutneftegas PJSC (b)		7,544
	657,084	Tatneft PJSC (b)		50,067
		Total Russia		474,765
		South Africa — 6.9%
	45,633	Anglo American Platinum Ltd. (a)		1,496,967
	61,808	AVI Ltd.		280,098
	51,093	Clicks Group Ltd.		801,945
	7,877	Coronation Fund Managers Ltd.		14,604
	707,449	FirstRand Ltd.		2,454,376
	48,275	Foschini Group Ltd.		244,268
	17,150	Investec Ltd.		112,128
	7,462	Kumba Iron Ore Ltd.		195,621
	79,149	Mr Price Group Ltd.		749,607
	6,655	Nedbank Group Ltd. (a)		80,787
	79,169	Ninety One Ltd.		167,020
	15,362	Omnia Holdings Ltd.		45,954
	68,786	Sanlam Ltd.		259,544
	29,274	Shoprite Holdings Ltd.		389,217
	18,787	Tiger Brands Ltd.		194,563
	34,853	Truworths International Ltd.		141,654
	18,435	Woolworths Holdings Ltd.		53,277
		Total South Africa		7,681,630
		South Korea — 7.1%
	822	BGF retail Co. Ltd.		69,268
	9,332	Cheil Worldwide, Inc.		126,180
	15,175	Daou Data Corp.		126,804
	1,747	DB Insurance Co. Ltd.		130,933

Shares		Description	Value ($)
		South Korea — continued
	52,838	Dongwon Development Co. Ltd.		105,551
	39,629	Hanon Systems		143,398
	534	Hyundai Marine & Fire Insurance Co. Ltd.		12,663
	247	Hyundai Mobis Co. Ltd.		38,511
	926	INTOPS Co. Ltd.		15,771
	2,556	JB Financial Group Co. Ltd.		26,971
	5,225	Kakaopay Corp. *		116,988
	11,264	Kangwon Land, Inc.		121,300
	1,888	KCC Glass Corp.		55,147
	14,226	Kia Corp.		1,214,278
	29,697	KT&G Corp.		1,792,562
	3,035	LOTTE Fine Chemical Co. Ltd.		105,559
	1,930	Mirae Asset Securities Co. Ltd.		10,089
	7,964	NH Investment & Securities Co. Ltd.		70,732
	53	NongShim Co. Ltd.		17,625
	3,122	Orion Corp.		206,557
	1,893	S-1 Corp.		86,918
	35,188	Samsung Electronics Co. Ltd.		1,864,359
	10,140	Samsung Securities Co. Ltd.		265,415
	227	Soulbrain Co. Ltd.		54,314
	4,155	TKG Huchems Co. Ltd.		59,513
	104,000	Woori Financial Group, Inc.		1,066,761
		Total South Korea		7,904,167
		Taiwan — 27.8%
	9,000	Acter Group Corp. Ltd.		65,130
	58,000	Asia Cement Corp.		74,451
	31,000	Capital Securities Corp.		22,594
	376,000	Catcher Technology Co. Ltd.		2,612,467
	95,000	Chicony Electronics Co. Ltd.		549,508
	5,000	Chicony Power Technology Co. Ltd. *		23,984
	15,000	China General Plastics Corp.		8,234
	146,000	Chipbond Technology Corp.		307,262
	28,000	ChipMOS Technologies, Inc.		38,308
	9,000	Darfon Electronics Corp.		18,973
	36,000	Dynapack International Technology Corp.		105,196
	104,000	Elitegroup Computer Systems Co. Ltd. *		110,517
	187,600	Evergreen Marine Corp. Taiwan Ltd.		1,220,400
	68,000	Everlight Electronics Co. Ltd.		151,657
	19,000	Feng Hsin Steel Co. Ltd.		43,007
	28,000	First Financial Holding Co. Ltd.		23,819
	17,000	FLEXium Interconnect, Inc.		45,924
	52,000	Formosa Advanced Technologies Co. Ltd.		62,066
	177,897	Foxconn Technology Co. Ltd.		403,239
	5,000	Fusheng Precision Co. Ltd.		44,936
	25,000	Giant Manufacturing Co. Ltd.		168,124
	30,000	Global Brands Manufacture Ltd.		69,040
	13,000	Global Mixed Mode Technology, Inc.		122,835
	3,000	Grape King Bio Ltd.		14,872
	39,000	Greatek Electronics, Inc.		76,172
	28,000	Hannstar Board Corp.		51,322

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	290,000	Hon Hai Precision Industry Co. Ltd.		1,544,394
	1,239	Innodisk Corp.		12,653
	162,000	King’s Town Bank Co. Ltd.		300,495
	49,000	Kung Long Batteries Industrial Co. Ltd.		223,413
	22,000	Largan Precision Co. Ltd.		1,553,789
	33,000	MediaTek, Inc.		1,263,704
	219,000	Micro-Star International Co. Ltd.		1,300,896
	50,000	Nan Ya Printed Circuit Board Corp.		301,753
	109,528	Nantex Industry Co. Ltd.		117,837
	8,000	Nien Made Enterprise Co. Ltd.		86,825
	106,000	Novatek Microelectronics Corp.		1,954,155
	13,000	Parade Technologies Ltd.		308,607
	7,000	Pixart Imaging, Inc.		35,475
	369,000	Powerchip Semiconductor Manufacturing Corp. *		283,636
	5,000	Powertech Technology, Inc.		27,605
	118,000	Primax Electronics Ltd.		369,074
	67,000	Radiant Opto-Electronics Corp.		408,668
	3,000	Raydium Semiconductor Corp.		38,390
	25,744	Shanghai Commercial & Savings Bank Ltd.		36,652
	6,000	Sigurd Microelectronics Corp.		14,653
	25,000	Simplo Technology Co. Ltd.		318,736
	18,000	Sinon Corp.		22,976
	12,750	Sporton International, Inc.		96,265
	86,000	T3EX Global Holdings Corp.		296,040
	32,000	TaiDoc Technology Corp.		161,228
	24,000	Taiwan Fertilizer Co. Ltd.		47,334
	21,000	Taiwan Hon Chuan Enterprise Co. Ltd.		105,777
	21,044	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		3,178,486
	241,000	Taiwan Semiconductor Manufacturing Co. Ltd.		6,171,511
	79,000	Taiwan Surface Mounting Technology Corp.		278,215
	1,000	TCI Co. Ltd.		4,716
	9,000	Test Research, Inc.		48,030
	5,000	Topkey Corp.		31,326
	19,000	Transcend Information, Inc.		69,142
	79,000	Tripod Technology Corp.		520,353
	41,000	Tung Ho Steel Enterprise Corp.		87,474
	25,000	TXC Corp.		87,475
	13,816	United Microelectronics Corp. Sponsored ADR		117,436
	154,000	United Microelectronics Corp.		262,173
	88,000	USI Corp.		43,208
	3,000	Wah Lee Industrial Corp.		11,541
	61,000	Wisdom Marine Lines Co. Ltd. *		146,349
	1,052,000	Yang Ming Marine Transport Corp.		2,324,913
		Total Taiwan		31,047,415
		Thailand — 2.0%
	1,193,400	BTS Group Holdings PCL NVDR		155,703
	1,601,000	Land & Houses PCL NVDR		287,214

Shares		Description	Value ($)
		Thailand — continued
	191,200	Muangthai Capital PCL NVDR		231,270
	323,900	PTT Exploration & Production PCL NVDR		1,361,998
	217,700	PTT PCL NVDR		194,205
	58,200	Regional Container Lines PCL NVDR		47,057
		Total Thailand		2,277,447
		United Arab Emirates — 0.1%
	12,938	Emirates NBD Bank PJSC		54,807
		Vietnam — 2.4%
	8,800	Dong Phu Rubber JSC		14,724
	144,565	Duc Giang Chemicals JSC		719,221
	6,700	IDICO Corp. JSC		16,807
	107,000	PetroVietNam Ca Mau Fertilizer JSC		158,432
	24,300	Petrovietnam Fertilizer & Chemicals JSC		34,504
	9,900	PetroVietnam Gas JSC		31,250
	49,700	PetroVietnam Technical Services Corp.		84,852
	4,600	South Basic Chemicals JSC		12,393
	338,800	SSI Securities Corp.		464,606
	5,500	Tu Liem Urban Development JSC		9,941
	131,400	Vietnam Dairy Products JSC		338,276
	49,719	Vietnam Joint Stock Commercial Bank for Industry & Trade *		62,560
	106,100	VIX Securities JSC *		75,609
	858,055	VNDirect Securities Corp. *		603,981
		Total Vietnam		2,627,156
		TOTAL COMMON STOCKS (COST $157,566,629)		101,593,127
		PREFERRED STOCKS (d) — 7.9%
		Brazil — 6.7%
	342,357	Bradespar SA		1,251,834
	16,195	Cia de Ferro Ligas da Bahia FERBASA		24,520
	1,350,766	Cia Energetica de Minas Gerais		2,559,584
	457,331	Itausa SA		847,441
	357,884	Petroleo Brasileiro SA		2,643,798
	14,554	Randon SA Implementos e Participacoes		26,387
	15,431	Unipar Carbocloro SA – Class B		146,966
		Total Brazil		7,500,530
		Colombia — 1.2%
	35,847	Bancolombia SA Sponsored ADR		1,271,135
		Russia — 0.0%
	3,948,700	Surgutneftegas PJSC (b)		29,579
	31,500	Transneft PJSC (b)		5,523
		Total Russia		35,102
		TOTAL PREFERRED STOCKS (COST $10,818,726)		8,806,767

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.8%
		United States — 2.8%
		Affiliated Issuers — 2.8%
	620,903	GMO U.S. Treasury Fund		3,104,517
		Total United States		3,104,517
		TOTAL MUTUAL FUNDS (COST $3,104,517)		3,104,517
		RIGHTS/WARRANTS — 0.1%
		Vietnam — 0.1%
	170,620	VNDirect Securities Corp., expires 07/03/24 * (e)		52,301
		Total Vietnam		52,301
		TOTAL RIGHTS/WARRANTS (COST $0)		52,301

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	10,337	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (f)		10,337
		TOTAL SHORT-TERM INVESTMENTS (COST $10,337)		10,337
		TOTAL INVESTMENTS — 101.7% (Cost $171,500,209)		113,567,049
		Other Assets and Liabilities (net) — (1.7)%		(1,853,797	)
		TOTAL NET ASSETS — 100.0%		$111,713,252

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
Alrosa PJSC	10/18/21	$	7,054,956	0.0%	$	33,364
Magnitogorsk Iron & Steel Works PJSC	10/18/21		4,011,995	0.0%		26,335
PhosAgro PJSC GDR	10/18/21		2,465	0.0%		21
Polyus PJSC	10/18/21		2,285,367	0.0%		16,073
Polyus PJSC GDR (Registered)	10/22/21		4	0.0%		1
Sberbank of Russia PJSC	10/18/21		16,614,391	0.1%		119,102
Severstal PAO GDR (Registered)	10/18/21		3,190,235	0.0%		27,656
					$	222,552

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(c) The security is restricted as to resale.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) Investment valued using significant unobservable inputs.

(f) The rate disclosed is the 7 day net yield as of May 31, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.3%
		Brazil — 5.6%
	33,296	Alupar Investimento SA		184,397
	119,300	Banco Santander Brasil SA		630,478
	2,600	BrasilAgro – Co. Brasileira de Propriedades Agricolas		12,572
	119,400	Cia de Saneamento de Minas Gerais Copasa MG		458,190
	20,900	Cia De Sanena Do Parana		108,701
	498,100	CPFL Energia SA		3,234,724
	91,500	Cury Construtora e Incorporadora SA		321,153
	254,500	Engie Brasil Energia SA		2,100,598
	15,100	Grendene SA		17,772
	12,500	Grupo SBF SA		27,686
	250,700	Magazine Luiza SA *		591,551
	15,400	Odontoprev SA		32,730
	516,100	Petroleo Brasileiro SA		4,000,318
	354,499	Petroleo Brasileiro SA Sponsored ADR		5,512,459
	8,100	Sao Martinho SA		41,866
	41,400	Transmissora Alianca de Energia Eletrica SA		270,276
	695,500	Ultrapar Participacoes SA		3,068,947
	65,200	Vale SA		784,749
	89,664	Vale SA Sponsored ADR		1,080,451
	18,500	Vibra Energia SA		75,890
		Total Brazil		22,555,508
		Chile — 0.1%
	1,784,522	Colbun SA		233,268
		China — 24.1%
	1,276,000	361 Degrees International Ltd.		730,250
	254,000	3SBio, Inc.		198,344
	3,064,400	Agricultural Bank of China Ltd. – Class A		1,856,456
	10,137,000	Agricultural Bank of China Ltd. – Class H		4,249,741
	1,128,000	Air China Ltd. – Class H *		600,983
	57,400	ANTA Sports Products Ltd.		614,909
	15,169	Autohome, Inc. ADR		430,800
	7,329,000	Bank of China Ltd. – Class H		3,474,258
	1,278,000	Bosideng International Holdings Ltd.		739,478
	838,000	China BlueChemical Ltd. – Class H *		267,136
	6,138,000	China Cinda Asset Management Co. Ltd. – Class H		590,652
	2,453,878	China Communications Services Corp. Ltd. – Class H		1,180,426
	15,057,148	China Construction Bank Corp. – Class H		10,686,420
	483,000	China Everbright Environment Group Ltd.		225,496
	18,798,000	China Feihe Ltd.		9,329,393
	1,412,000	China Lesso Group Holdings Ltd. *		650,831
	1,106,000	China Medical System Holdings Ltd.		936,440
	331,400	China Merchants Bank Co. Ltd. – Class A		1,567,231
	200,000	China Oriental Group Co. Ltd.		27,977
	900,000	China Overseas Property Holdings Ltd.		608,792
	263,100	China Petroleum & Chemical Corp. – Class A		234,319

Shares		Description	Value ($)
		China — continued
	1,278,000	China Petroleum & Chemical Corp. – Class H		814,148
	1	China Railway Signal & Communication Corp. Ltd. – Class A		1
	17,000	China Shineway Pharmaceutical Group Ltd.		18,189
	30,000	Consun Pharmaceutical Group Ltd.		25,591
	98,000	COSCO Shipping International Hong Kong Co. Ltd.		49,621
	586,000	COSCO Shipping Ports Ltd.		406,133
	779,000	Country Garden Services Holdings Co. Ltd.		566,788
	6,982,000	CSPC Pharmaceutical Group Ltd.		5,935,887
	1,828,000	Dongfeng Motor Group Co. Ltd. – Class H		592,971
	269,500	East Buy Holding Ltd. *		632,017
	90,200	ENN Energy Holdings Ltd.		833,269
	79,000	Fufeng Group Ltd.		61,821
	512,000	Greentown Service Group Co. Ltd.		249,660
	10,248,000	Hua Han Health Industry Holdings Ltd. (a)		1
	115,700	Industrial & Commercial Bank of China Ltd. – Class A		86,699
	13,997,000	Industrial & Commercial Bank of China Ltd. – Class H		7,929,826
	10,000	JNBY Design Ltd.		18,767
	252,000	Kingboard Holdings Ltd.		613,079
	138,000	Kingboard Laminates Holdings Ltd. (b)		149,356
	208,000	Kunlun Energy Co. Ltd.		216,933
	2,472,000	Lenovo Group Ltd.		3,560,936
	78,900	Livzon Pharmaceutical Group, Inc. – Class A		421,630
	484,000	Lonking Holdings Ltd.		89,706
	128,062	Lufax Holding Ltd. ADR		573,718
	18,000	Minth Group Ltd.		35,809
	360,000	Orient Overseas International Ltd.		6,114,404
	3,014,400	PetroChina Co. Ltd. – Class A		4,231,266
	2,944,000	PetroChina Co. Ltd. – Class H		3,018,655
	1,609	Ping An Insurance Group Co. of China Ltd. – Class A		9,572
	771,000	Sany Heavy Equipment International Holdings Co. Ltd.		588,572
	44,500	SciClone Pharmaceuticals Holdings Ltd.		105,482
	383,000	Shanghai Fosun Pharmaceutical Group Co. Ltd. – Class H		599,448
	170,200	Shanghai Mechanical & Electrical Industry Co. Ltd. – Class A		309,972
	1,600,000	Sinopec Engineering Group Co. Ltd. – Class H		1,076,569
	164,000	Sinotruk Hong Kong Ltd.		381,419
	6,957	Tencent Holdings Ltd. ADR		323,709
	55,900	Tencent Holdings Ltd.		2,593,400
	520,433	Vipshop Holdings Ltd. ADR		8,363,358
	323,400	Weichai Power Co. Ltd. – Class A		710,847
	1,060,000	Weichai Power Co. Ltd. – Class H		1,904,109
	349,000	Xiaomi Corp. – Class B *		781,462
	353,500	Xtep International Holdings Ltd.		246,086
	853,000	Yuexiu Property Co. Ltd.		618,448
	346,200	Zai Lab Ltd. *		648,096

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		China — continued
	336,000	Zhejiang Expressway Co. Ltd. – Class H		219,402
	350,100	ZhongAn Online P&C Insurance Co. Ltd. – Class H *		595,408
	19,500	Zhongsheng Group Holdings Ltd.		35,382
		Total China		96,557,954
		Colombia — 0.0%
	21,034	Interconexion Electrica SA ESP		104,208
		Czech Republic — 0.4%
	279,489	Moneta Money Bank AS		1,224,085
	588	Philip Morris CR AS		387,232
		Total Czech Republic		1,611,317
		Egypt — 0.3%
	110,045	Abou Kir Fertilizers & Chemical Industries		144,301
	689,269	Commercial International Bank – Egypt (CIB)		1,140,556
	127,803	Eastern Co. SAE		74,710
	21,747	ElSewedy Electric Co.		20,483
	10,721	Misr Fertilizers Production Co. SAE		9,947
		Total Egypt		1,389,997
		Greece — 0.1%
	2,297	JUMBO SA		65,865
	12,951	OPAP SA		205,875
		Total Greece		271,740
		Hungary — 3.6%
	147,482	Magyar Telekom Telecommunications PLC		403,095
	141,990	MOL Hungarian Oil & Gas PLC		1,104,467
	40,252	Opus Global Nyrt *		42,699
	244,153	OTP Bank Nyrt		11,790,211
	45,260	Richter Gedeon Nyrt		1,147,290
		Total Hungary		14,487,762
		India — 10.6%
	68,260	Berger Paints India Ltd.		376,173
	772,905	Bharat Petroleum Corp. Ltd.		5,824,368
	317,184	Brightcom Group Ltd. *		42,000
	17,740	Castrol India Ltd.		41,676
	179,221	Chambal Fertilisers & Chemicals Ltd.		834,549
	29,359	Chennai Petroleum Corp. Ltd.		322,551
	4,256	Colgate-Palmolive India Ltd.		134,959
	13,553	Coromandel International Ltd.		211,904
	90,051	GHCL Ltd.		544,030
	2,748	Glenmark Life Sciences Ltd.		27,459
	7,655	Godawari Power & Ispat Ltd.		89,544
	89,987	Great Eastern Shipping Co. Ltd.		1,167,997
	47,345	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		360,472
	31,225	Gujarat Pipavav Port Ltd.		72,857
	333,272	Gujarat State Fertilizers & Chemicals Ltd.		844,179

Shares		Description	Value ($)
		India — continued
	10,567	Gujarat State Petronet Ltd.		36,824
	4,436	ICICI Securities Ltd.		38,025
	3,528	IIFL Finance Ltd.		16,845
	1,682,750	Indiabulls Housing Finance Ltd.		3,189,949
	1,046,886	Indian Oil Corp. Ltd.		2,041,550
	114,799	Indraprastha Gas Ltd.		607,819
	126,883	JM Financial Ltd. *		119,943
	5,928	Kaveri Seed Co. Ltd.		60,304
	6,956	KRBL Ltd.		22,272
	17,926	LT Foods Ltd.		44,362
	26,141	Mahanagar Gas Ltd.		406,967
	207	Maharashtra Scooters Ltd.		19,214
	1,848,387	Manappuram Finance Ltd.		3,767,312
	4,926	Motilal Oswal Financial Services Ltd.		131,293
	36,072	Muthoot Finance Ltd.		731,408
	9,618	Nippon Life India Asset Management Ltd.		69,781
	1,790,760	NMDC Ltd.		5,594,305
	2,393,115	Oil & Natural Gas Corp. Ltd.		7,638,321
	91,749	One 97 Communications Ltd. *		396,525
	339,025	Petronet LNG Ltd.		1,207,520
	825,490	Power Grid Corp. of India Ltd.		3,061,730
	156,540	PTC India Ltd.		394,719
	6,156	Rashtriya Chemicals & Fertilizers Ltd.		11,392
	60,837	Redington Ltd.		145,121
	14	Reliance Industries Ltd.		480
	5,023	RITES Ltd.		42,326
	618	Sanofi India Ltd.		64,685
	270	Share India Securities Ltd.		4,886
	2,838	Shipping Corp. of India Ltd.		8,385
	4,390	Shriram Finance Ltd.		125,643
	149,201	Sun TV Network Ltd.		1,172,675
	8,743	Triveni Engineering & Industries Ltd.		34,432
	74	Ujjivan Small Finance Bank Ltd.		44
	927	UTI Asset Management Co. Ltd.		10,077
	14,029	West Coast Paper Mills Ltd.		100,557
	3,911	Zensar Technologies Ltd.		28,764
		Total India		42,241,173
		Indonesia — 3.1%
	2,502,800	AKR Corporindo Tbk. PT		246,639
	537,800	Aneka Tambang Tbk. PT		48,544
	710,400	Bank BTPN Syariah Tbk. PT		50,965
	6,853,700	Bank Central Asia Tbk. PT		3,899,566
	3,689,100	Bank Mandiri Persero Tbk. PT		1,337,910
	10,522,200	Bank Negara Indonesia Persero Tbk. PT		2,855,188
	8,940,300	Bank Pembangunan Daerah Jawa Timur Tbk. PT		275,083
	11,443,800	Bank Rakyat Indonesia Persero Tbk. PT		3,067,387
	89,500	Indah Kiat Pulp & Paper Tbk. PT *		50,253
	47,600	Indofood CBP Sukses Makmur Tbk. PT		28,568
	78,300	Indofood Sukses Makmur Tbk. PT		28,315
	9,537,200	Panin Financial Tbk. PT *		202,063
	783,300	Perusahaan Gas Negara Tbk. PT		76,240
	2,545,800	Sarana Menara Nusantara Tbk. PT		108,099

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	1,428,200	Semen Indonesia Persero Tbk. PT		306,733
	202,400	Unilever Indonesia Tbk. PT		38,935
		Total Indonesia		12,620,488
		Kuwait — 0.1%
	35,720	Humansoft Holding Co. KSC		301,218
		Malaysia — 0.0%
	232,160	Hibiscus Petroleum Bhd.		123,684
	8,400	United Plantations Bhd.		44,890
		Total Malaysia		168,574
		Mexico — 5.6%
	329,019	Arca Continental SAB de CV		3,372,898
	246,341	Banco del Bajio SA		853,006
	41,905	Bolsa Mexicana de Valores SAB de CV		76,171
	27,730	Coca-Cola Femsa SAB de CV Sponsored ADR		2,597,192
	315,700	Credito Real SAB de CV SOFOM ER * (a) (b)		—
	4,371	GCC SAB de CV		47,802
	78,263	Gentera SAB de CV		120,901
	5,314	Grupo Aeroportuario del Centro Norte SAB de CV ADR		434,738
	69,284	Grupo Aeroportuario del Centro Norte SAB de CV		710,624
	3,009	Grupo Aeroportuario del Sureste SAB de CV ADR		1,009,790
	2,971	Grupo Aeroportuario del Sureste SAB de CV – Class B		100,289
	1,177,937	Grupo Financiero Banorte SAB de CV – Class O		11,189,586
	51,796	Grupo Mexico SAB de CV – Series B		319,571
	105,126	Kimberly-Clark de Mexico SAB de CV – Class A		221,077
	11,279	Orbia Advance Corp. SAB de CV		18,488
	1,365	Promotora y Operadora de Infraestructura SAB de CV		14,991
	15,900	Regional SAB de CV		137,741
	361,513	Wal-Mart de Mexico SAB de CV		1,358,351
		Total Mexico		22,583,216
		Pakistan — 0.9%
	202,370	Attock Refinery Ltd.		276,590
	54,383	Bank Alfalah Ltd.		12,082
	576,053	Engro Fertilizers Ltd.		331,183
	840,562	Fauji Fertilizer Bin Qasim Ltd.		100,673
	413,745	Fauji Fertilizer Co. Ltd.		210,865
	146,049	Habib Bank Ltd.		59,747
	193,543	Hub Power Co. Ltd.		99,847
	106,490	International Steels Ltd.		33,647
	240,466	Kot Addu Power Co. Ltd.		28,461
	18,034	Lucky Cement Ltd.		58,192
	11,947	Mari Petroleum Co. Ltd.		119,609
	41,178	MCB Bank Ltd.		30,601

Shares		Description	Value ($)
		Pakistan — continued
	1,823,573	Oil & Gas Development Co. Ltd.		875,286
	44,115	Pakistan Oilfields Ltd.		77,731
	2,756,908	Pakistan Petroleum Ltd.		1,187,208
	545,873	SUI Northern Gas Pipeline		129,808
	153,740	United Bank Ltd.		123,548
		Total Pakistan		3,755,078
		Philippines — 0.1%
	65,600	Aboitiz Equity Ventures, Inc.		39,290
	7,525,800	Megaworld Corp.		231,604
		Total Philippines		270,894
		Poland — 1.3%
	5,244	Budimex SA		996,270
	111	Grupa Kety SA		24,387
	233,332	ORLEN SA		3,779,627
	68,424	Pepco Group NV *		422,238
		Total Poland		5,222,522
		Qatar — 0.6%
	658,660	Industries Qatar QSC		2,092,505
	5,134	Qatar Fuel QSC		18,994
	25,803	Qatar Islamic Bank SAQ		122,374
		Total Qatar		2,233,873
		Russia — 0.6%
	31,701,260	Alrosa PJSC (a) (c)		262,059
	39,977	Evraz PLC * (a)		1,043
	1,432,600,000	Federal Grid Co.-Rosseti PJSC * (a)		16,112
	653,911	Fix Price Group PLC GDR (a)		15,566
	219,070	Gazprom Neft PJSC (a)		16,302
	1,250,860	Gazprom PJSC * (a)		17,312
	3,721,200	GMK Norilskiy Nickel PAO (a)		57,992
	78,536,400	Inter RAO UES PJSC * (a)		35,414
	3	LSR Group PJSC GDR (a)		—
	239,440	LSR Group PJSC (a)		20,638
	285,469	LUKOIL PJSC (a)		232,006
	17,490,987	Magnitogorsk Iron & Steel Works PJSC * (a) (c)		106,445
	474,800	Mechel PJSC * (a) (c)		11,318
	5	MMC Norilsk Nickel PJSC ADR * (a)		—
	249,660	Mobile TeleSystems PJSC (a)		7,816
	4,133,417	Moscow Exchange MICEX-Rates PJSC (a)		109,396
	10,015,560	Novolipetsk Steel PJSC (a)		213,968
	11,924	PhosAgro PJSC (a)		7,830
	230	PhosAgro PJSC GDR (a) (c)		50
	80,094	Polyus PJSC * (a) (c)		108,163
	24,938,000	RusHydro PJSC (a)		1,741
	13,125,612	Sberbank of Russia PJSC * (a) (c)		453,594
	706,464	Severstal PAO GDR (Registered) * (a) (c)		138,956
	68,353	SFI PJSC (a)		9,751
	63,500,900	Surgutneftegas PJSC (a)		200,633
	2,860,038	Tatneft PJSC (a)		217,923

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	8,118,000	Unipro PJSC * (a)		1,715
	556,430	United Co. Rusal International PJSC * (a)		2,631
		Total Russia		2,266,374
		South Africa — 6.6%
	145,217	Anglo American Platinum Ltd. (b)		4,763,770
	190,434	AVI Ltd.		862,999
	190,289	Clicks Group Ltd.		2,986,734
	2,013,614	FirstRand Ltd.		6,985,896
	184,700	Foschini Group Ltd.		934,568
	152,738	Investec Ltd.		998,613
	17,576	Kumba Iron Ore Ltd.		460,766
	377,362	Mr Price Group Ltd.		3,573,930
	451,934	Ninety One Ltd.		953,431
	529,489	Sanlam Ltd.		1,997,871
	74,575	Shoprite Holdings Ltd.		991,525
	44,902	Tiger Brands Ltd.		465,017
	5,873	Truworths International Ltd.		23,870
	95,625	Woolworths Holdings Ltd.		276,357
		Total South Africa		26,275,347
		South Korea — 2.6%
	1,390	Coway Co. Ltd.		56,924
	35,955	Daou Data Corp.		300,443
	3,124	DB Insurance Co. Ltd.		234,136
	168,857	Dongwon Development Co. Ltd.		337,315
	84,891	Hanon Systems		307,178
	1,395	Hyundai Mobis Co. Ltd.		217,501
	63,996	JB Financial Group Co. Ltd.		675,297
	11,193	Kakaopay Corp. *		250,611
	24,129	Kangwon Land, Inc.		259,841
	37,183	Kia Corp.		3,173,801
	56,596	KT&G Corp.		3,416,232
	377	LOTTE Fine Chemical Co. Ltd.		13,112
	1,321	NH Investment & Securities Co. Ltd.		11,732
	2,779	Orion Corp.		183,864
	314	S-1 Corp.		14,417
	30,715	Samsung Securities Co. Ltd.		803,967
		Total South Korea		10,256,371
		Sri Lanka — 0.1%
	103,983,101	Anilana Hotels & Properties Ltd. * (d) (e)		310,125
		Taiwan — 21.5%
	23,000	Allied Supreme Corp.		277,964
	28,000	Arcadyan Technology Corp.		144,723
	35,000	Asia Cement Corp.		44,927
	8,000	Asia Optical Co., Inc.		16,500
	58,000	Capital Securities Corp.		42,273
	961,000	Catcher Technology Co. Ltd.		6,677,077
	318,000	Chicony Electronics Co. Ltd.		1,839,407
	10,000	Chicony Power Technology Co. Ltd. *		47,968
	513,000	Chipbond Technology Corp.		1,079,628

Shares		Description	Value ($)
		Taiwan — continued
	10,000	Chlitina Holding Ltd.		51,744
	406,400	Coretronic Corp.		1,391,135
	63,000	Darfon Electronics Corp.		132,811
	101,000	Dynapack International Technology Corp.		295,132
	235,000	Elitegroup Computer Systems Co. Ltd. *		249,726
	202,200	Evergreen Marine Corp. Taiwan Ltd.		1,315,378
	115,000	Everlight Electronics Co. Ltd.		256,478
	492,000	Farglory Land Development Co. Ltd.		1,346,443
	5,000	First Financial Holding Co. Ltd.		4,253
	49,000	FLEXium Interconnect, Inc.		132,370
	648,778	Foxconn Technology Co. Ltd.		1,470,584
	4,000	Foxsemicon Integrated Technology, Inc.		36,535
	7,000	Fusheng Precision Co. Ltd.		62,911
	55,000	Giant Manufacturing Co. Ltd.		369,873
	94,000	Global Brands Manufacture Ltd.		216,325
	18,000	Global Mixed Mode Technology, Inc.		170,079
	22,000	Grape King Bio Ltd.		109,064
	15,000	Greatek Electronics, Inc.		29,297
	56,000	Hannstar Board Corp.		102,645
	907,000	Hon Hai Precision Industry Co. Ltd.		4,830,225
	191,000	Huaku Development Co. Ltd. *		932,464
	170,000	Kung Long Batteries Industrial Co. Ltd.		775,105
	28,000	Largan Precision Co. Ltd.		1,977,549
	141,000	MediaTek, Inc.		5,399,464
	37,000	Merry Electronics Co. Ltd.		142,276
	721,000	Micro-Star International Co. Ltd.		4,282,859
	3,000	Nan Pao Resins Chemical Co. Ltd.		31,349
	106,000	Nan Ya Printed Circuit Board Corp.		639,717
	358,000	Nantex Industry Co. Ltd.		385,157
	15,000	Nien Made Enterprise Co. Ltd.		162,797
	396,810	Novatek Microelectronics Corp.		7,315,362
	53,000	Pan-International Industrial Corp.		64,001
	27,000	Parade Technologies Ltd.		640,952
	26,000	Pixart Imaging, Inc.		131,763
	790,000	Powerchip Semiconductor Manufacturing Corp.*		607,242
	125,000	Powertech Technology, Inc.		690,132
	414,000	Primax Electronics Ltd.		1,294,885
	22,000	Qisda Corp.		27,032
	92,000	Quanta Storage, Inc.		356,987
	218,936	Radiant Opto-Electronics Corp.		1,335,404
	7,000	Raydium Semiconductor Corp.		89,576
	321,000	Shinkong Insurance Co. Ltd.		942,557
	31,000	Sigurd Microelectronics Corp.		75,710
	71,000	Simplo Technology Co. Ltd.		905,209
	37,000	Sinon Corp.		47,228
	221,000	T3EX Global Holdings Corp.		760,754
	119,000	TaiDoc Technology Corp.		599,568
	82,000	Taiwan Fertilizer Co. Ltd.		161,723
	999,000	Taiwan Semiconductor Manufacturing Co. Ltd.		25,582,323
	248,000	Taiwan Surface Mounting Technology Corp.		873,385
	62,000	TCI Co. Ltd.		292,408

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	32,000	Test Research, Inc.		170,773
	3,000	Thinking Electronic Industrial Co. Ltd.		15,793
	29,000	TPK Holding Co. Ltd.		34,490
	387,000	Transcend Information, Inc.		1,408,313
	214,160	Tripod Technology Corp.		1,410,617
	10,000	TTY Biopharm Co. Ltd.		23,967
	46,000	TXC Corp.		160,953
	1,000	Voltronic Power Technology Corp.		52,408
	1,039,000	Yang Ming Marine Transport Corp.		2,296,183
	8,000	Zyxel Group Corp.		10,285
		Total Taiwan		85,850,195
		Thailand — 2.3%
	2,556,400	BTS Group Holdings PCL NVDR		333,534
	3,429,700	Land & Houses PCL NVDR		615,277
	409,700	Muangthai Capital PCL NVDR		495,560
	2,122,400	Pruksa Holding PCL (Foreign Registered)		577,852
	1,122,400	PTT Exploration & Production PCL		4,719,687
	2,645,800	PTT PCL		2,360,256
	42,000	TTW PCL		10,394
		Total Thailand		9,112,560
		Vietnam — 2.1%
	6,500	CNG Vietnam JSC		8,608
	15,900	Dong Phu Rubber JSC		26,604
	527,200	Duc Giang Chemicals JSC		2,622,858
	117,900	PetroVietNam Ca Mau Fertilizer JSC		174,571
	24,400	PetroVietnam Gas JSC		77,021
	279,900	PetroVietnam Technical Services Corp.		477,868
	130,000	Pha Lai Thermal Power JSC		84,365
	35,600	Sai Gon-Ha Noi Securities JSC *		25,423
	6,200	South Basic Chemicals JSC		16,704
	572,900	SSI Securities Corp.		785,633
	19,300	Tu Liem Urban Development JSC		34,885
	464,200	Vietnam Dairy Products JSC		1,195,037
	249,400	VIX Securities JSC *		177,727
	4,059,090	VNDirect Securities Corp. *		2,857,177
		Total Vietnam		8,564,481
		TOTAL COMMON STOCKS (COST $714,392,536)		369,244,243
		PREFERRED STOCKS (f) — 5.2%
		Brazil — 3.4%
	1,317,500	Bradespar SA		4,817,460
	7,100	Cia de Ferro Ligas da Bahia FERBASA		10,750
	3,707,280	Cia Energetica de Minas Gerais		7,024,974
	180,047	Petroleo Brasileiro SA		1,330,062
	45,530	Unipar Carbocloro SA – Class B		433,631
		Total Brazil		13,616,877

Shares / Par Value†		Description	Value ($)
		Colombia — 1.2%
	134,569	Bancolombia SA Sponsored ADR		4,771,817
		Russia — 0.1%
	194,570	Nizhnekamskneftekhim PJSC (a)		1,576
	79,676,700	Surgutneftegas PJSC (a)		596,837
	86,900	Transneft PJSC (a)		15,237
		Total Russia		613,650
		South Korea — 0.5%
	45,689	Samsung Electronics Co. Ltd.		1,993,459
		TOTAL PREFERRED STOCKS (COST $69,775,430)		20,995,803
		DEBT OBLIGATIONS — 0.1%
		United States — 0.1%
	300,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (g)		300,327
		TOTAL DEBT OBLIGATIONS (COST $300,097)		300,327
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	1,005,903	GMO U.S. Treasury Fund		5,029,518
		Total United States		5,029,518
		TOTAL MUTUAL FUNDS (COST $5,029,518)		5,029,518
		RIGHTS/WARRANTS — 0.1%
		Vietnam — 0.1%
	773,160	VNDirect Securities Corp., expires 07/03/24 * (e)		237,002
		Total Vietnam		237,002
		TOTAL RIGHTS/WARRANTS (COST $0)		237,002
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	568,350	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (h)		568,350
		TOTAL SHORT-TERM INVESTMENTS (COST $568,350)		568,350
		TOTAL INVESTMENTS — 99.1% (Cost $790,065,931)		396,375,243
		Other Assets and Liabilities (net) — 0.9%		3,725,132
		TOTAL NET ASSETS — 100.0%	$	400,100,375

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
Alrosa PJSC	09/14/17	$	46,779,239	0.1%	$	262,059
Magnitogorsk Iron & Steel Works PJSC	02/13/18		14,388,116	0.0%		106,445
Mechel PJSC	11/12/21		883,911	0.0%		11,318
PhosAgro PJSC GDR	02/09/22		5,151	0.0%		50
Polyus PJSC	07/23/20		17,665,998	0.0%		108,163
Sberbank of Russia PJSC	11/10/17		51,393,929	0.1%		453,594
Severstal PAO GDR (Registered)	10/12/17		13,249,420	0.0%		138,956
					$	1,080,585

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
515	Mini MSCI Emerging Markets		June 2024		$27,204,875	$	296,211

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) All or a portion of this security is out on loan.

(c) The security is restricted as to resale.

(d) Affiliated company.

(e) Investment valued using significant unobservable inputs.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(h) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QSC - Qatari Shareholding Company

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.3%
		Australia — 3.0%
	102,270	BHP Group Ltd.		3,043,794
	131,246	BlueScope Steel Ltd.		1,852,129
	933,856	Brambles Ltd.		8,876,805
	387,997	Fortescue Ltd.		6,411,711
	173,489	GrainCorp Ltd. – Class A		964,229
	7,287	QBE Insurance Group Ltd.		86,636
	89,631	Rio Tinto Ltd.		7,709,562
	19,554	Suncorp Group Ltd.		207,688
	154,801	Super Retail Group Ltd.		1,357,733
		Total Australia		30,510,287
		Austria — 0.8%
	128,927	Erste Group Bank AG		6,335,496
	17,976	OMV AG		908,479
	25,828	Raiffeisen Bank International AG		477,688
		Total Austria		7,721,663
		Belgium — 2.1%
	198,540	Ageas SA		9,904,704
	28,823	Bekaert SA		1,358,372
	54,590	Groupe Bruxelles Lambert NV		4,186,334
	7,420	KBC Group NV		541,887
	18,036	Melexis NV		1,637,604
	29,381	Proximus SADP		231,632
	30,543	Syensqo SA		3,056,842
		Total Belgium		20,917,375
		Denmark — 0.0%
	1,474	Schouw & Co. AS		122,897
		Finland — 0.4%
	895,447	Nokia OYJ		3,502,449
		France — 13.8%
	353,808	AXA SA		12,774,741
	279,995	Cie de Saint-Gobain SA		24,721,113
	210,647	Cie Generale des Etablissements Michelin SCA		8,542,796
	105,579	Coface SA		1,625,742
	179,319	Credit Agricole SA		2,917,678
	100,483	Derichebourg SA		572,817
	13,507	Eurazeo SE		1,140,133
	11,003	Ipsen SA		1,443,432
	25,959	IPSOS SA		1,893,529
	34,139	Metropole Television SA		519,905
	118,958	Publicis Groupe SA		13,361,930
	191,479	Sanofi SA		18,746,167
	14,681	Societe BIC SA *		1,098,503
	477,437	STMicroelectronics NV – NY Shares		20,038,031
	110,657	Television Francaise 1 SA		1,089,695

Shares		Description	Value ($)
		France — continued
	14,666	TotalEnergies SE (a)		1,077,662
	358,414	TotalEnergies SE (a)		26,259,002
		Total France		137,822,876
		Germany — 4.6%
	8,544	Allianz SE (Registered)		2,501,151
	295,624	Deutsche Bank AG (Registered)		4,919,319
	22,632	Heidelberg Materials AG		2,373,494
	2,953	Hornbach Holding AG & Co. KGaA		248,968
	5,326	Indus Holding AG		156,383
	40,876	Kloeckner & Co. SE		271,567
	61,791	Mercedes-Benz Group AG		4,484,621
	120,151	ProSiebenSat.1 Media SE		998,761
	15,233	RTL Group SA		510,520
	33,105	Salzgitter AG		823,279
	6,544	SAP SE		1,193,353
	116,115	Siemens AG (Registered)		22,380,126
	67,130	Talanx AG		5,354,729
		Total Germany		46,216,271
		Hong Kong — 1.2%
	282,500	ASMPT Ltd.		3,378,431
	277,000	CK Hutchison Holdings Ltd.		1,352,614
	202,800	Dah Sing Banking Group Ltd.		175,789
	26,869	Dah Sing Financial Holdings Ltd.		79,074
	1,107,707	Esprit Holdings Ltd. *		31,735
	5,917	Hong Kong Resources Holdings Co. Ltd. *		448
	1,045,585	IGG, Inc. *		410,247
	122,901	Johnson Electric Holdings Ltd.		188,182
	215,640	Kerry Logistics Network Ltd.		247,763
	144,326	Luk Fook Holdings International Ltd.		354,329
	1,009,331	Pacific Textiles Holdings Ltd.		195,118
	383,023	Shun Tak Holdings Ltd. *		36,915
	287,500	Swire Pacific Ltd. – Class A		2,502,588
	57,000	Techtronic Industries Co. Ltd.		701,200
	277,488	Television Broadcasts Ltd. *		126,180
	730,000	VSTECS Holdings Ltd.		429,869
	72,700	VTech Holdings Ltd.		521,301
	1,753,515	WH Group Ltd.		1,194,943
		Total Hong Kong		11,926,726
		Ireland — 0.5%
	47,492	Kingspan Group PLC		4,575,283
		Italy — 6.5%
	67,555	Anima Holding SpA		361,032
	251,107	Assicurazioni Generali SpA		6,463,138
	55,598	Banca IFIS SpA		1,224,333
	307,486	BPER Banca SpA		1,654,805
	502,935	Eni SpA		7,943,542
	66,604	Esprinet SpA *		359,032

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	1,347,883	Intesa Sanpaolo SpA		5,309,624
	253,051	MFE-MediaForEurope NV – Class A		868,966
	2,362	Sesa SpA		273,855
	889,210	Stellantis NV		19,701,362
	346,137	UniCredit SpA		13,780,618
	19,898	Unieuro SpA (b)		208,648
	664,946	Unipol Gruppo SpA		6,855,072
		Total Italy		65,004,027
		Japan — 26.2%
	56,020	AOKI Holdings, Inc.		452,669
	55,800	Bridgestone Corp.		2,445,795
	207,996	Brother Industries Ltd.		4,003,197
	13,800	Canon Marketing Japan, Inc.		390,382
	251,700	Canon, Inc.		7,325,003
	92,300	Credit Saison Co. Ltd.		2,000,990
	102,000	Daido Steel Co. Ltd.		1,030,635
	66,290	Daiwabo Holdings Co. Ltd.		1,172,765
	880,200	ENEOS Holdings, Inc.		4,550,845
	233,400	FUJIFILM Holdings Corp.		5,329,866
	9,706	Fuyo General Lease Co. Ltd.		769,878
	17,453	Gunze Ltd.		596,340
	33,400	Hitachi Ltd.		3,439,788
	88,900	Honda Motor Co. Ltd.		1,006,678
	279,675	Honda Motor Co. Ltd. Sponsored ADR		9,486,576
	27,800	Horiba Ltd.		2,197,774
	171,600	Inpex Corp.		2,647,746
	491,654	ITOCHU Corp.		23,209,313
	757,504	Japan Tobacco, Inc.		21,492,444
	26,000	Kaga Electronics Co. Ltd.		949,945
	62,044	Kanematsu Corp.		1,064,476
	131,996	KDDI Corp.		3,637,119
	62,500	Komatsu Ltd.		1,836,938
	29,293	Komeri Co. Ltd.		696,628
	49,157	MCJ Co. Ltd.		430,409
	487,100	Mitsubishi Corp.		10,280,924
	40,000	Mitsubishi Electric Corp.		695,094
	1,892,300	Mitsubishi UFJ Financial Group, Inc.		20,099,384
	278,538	Mitsui & Co. Ltd.		14,181,538
	39,684	Modec, Inc. (b)		681,242
	209,900	NEC Corp.		15,624,489
	49,426	Nichias Corp.		1,498,777
	328,500	ORIX Corp.		7,163,938
	82,100	Otsuka Holdings Co. Ltd.		3,389,535
	947,900	Panasonic Holdings Corp.		8,372,647
	82,324	Press Kogyo Co. Ltd.		354,383
	37,219	Prima Meat Packers Ltd.		560,915
	5,983	San-A Co. Ltd.		183,543
	64,400	Sanwa Holdings Corp.		1,198,894
	22,500	SCREEN Holdings Co. Ltd.		2,152,240
	254,100	Seiko Epson Corp.		4,105,715
	50,795	Seiko Group Corp.		1,481,355

Shares		Description	Value ($)
		Japan — continued
	347,112	Sekisui Chemical Co. Ltd.		4,981,989
	647,700	Sekisui House Ltd.		14,584,630
	90,300	Subaru Corp.		2,018,628
	381,700	Sumitomo Forestry Co. Ltd.		13,216,019
	20,638	T-Gaia Corp.		255,608
	7,100	Tokyo Electron Ltd.		1,507,746
	61,000	Tokyo Gas Co. Ltd.		1,370,145
	101,975	Tokyu Construction Co. Ltd.		499,908
	12,428	Towa Pharmaceutical Co. Ltd.		228,680
	231,055	Toyota Tsusho Corp.		14,110,286
	24,269	TPR Co. Ltd.		365,899
	24,369	Valor Holdings Co. Ltd.		378,845
	20,256	Warabeya Nichiyo Holdings Co. Ltd.		304,749
	1,488,300	Yamaha Motor Co. Ltd.		14,573,026
		Total Japan		262,584,970
		Netherlands — 7.0%
	879	ASM International NV		618,561
	3,632	ASML Holding NV		3,474,989
	99,907	EXOR NV		11,219,617
	511,951	Koninklijke Ahold Delhaize NV		15,877,146
	368,056	Koninklijke Philips NV *		10,053,395
	91,598	NN Group NV		4,273,879
	162,561	Randstad NV		8,591,644
	98,763	Wolters Kluwer NV		15,751,645
		Total Netherlands		69,860,876
		Norway — 2.5%
	466,370	Elkem ASA *		974,660
	768,072	Equinor ASA		22,295,386
	35,331	Europris ASA		236,527
	102,693	Hoegh Autoliners ASA		1,225,943
	38,577	Wallenius Wilhelmsen ASA		412,108
		Total Norway		25,144,624
		Portugal — 0.2%
	30,571	CTT-Correios de Portugal SA		145,992
	253,973	Navigator Co. SA *		1,110,657
	156,820	REN – Redes Energeticas Nacionais SGPS SA		392,002
	757,857	Sonae SGPS SA		782,309
		Total Portugal		2,430,960
		Singapore — 2.7%
	730,000	ComfortDelGro Corp. Ltd.		752,592
	426,300	First Resources Ltd.		445,057
	584,500	Keppel Ltd.		2,914,220
	741,900	Oversea-Chinese Banking Corp. Ltd.		7,984,393
	428,300	Sheng Siong Group Ltd.		472,706
	185,500	United Overseas Bank Ltd.		4,229,781
	87,700	Venture Corp. Ltd.		912,550
	882,722	Yangzijiang Financial Holding Ltd.		212,619
	5,308,922	Yangzijiang Shipbuilding Holdings Ltd.		8,982,687
		Total Singapore		26,906,605

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Spain — 6.6%
	2,439,871	Banco Bilbao Vizcaya Argentaria SA		26,475,906
	11,374,226	Banco de Sabadell SA		24,025,672
	164,048	Banco Santander SA		865,147
	271,627	CaixaBank SA		1,555,626
	277,058	Industria de Diseno Textil SA		13,174,539
		Total Spain		66,096,890
		Sweden — 3.5%
	134,654	Betsson AB * (a)		48,013
	134,654	Betsson AB (a)		1,544,199
	65,963	Investor AB – A Shares		1,776,883
	412,512	Investor AB – B Shares		11,193,661
	20,698	SSAB AB – A Shares		120,604
	12,582	Volvo AB – A Shares		341,935
	729,359	Volvo AB – B Shares		19,630,617
		Total Sweden		34,655,912
		Switzerland — 5.9%
	62,086	Adecco Group AG (Registered)		2,356,214
	36,168	Ascom Holding AG (Registered) (b)		327,099
	209	Forbo Holding AG (Registered)		255,192
	31,657	Logitech International SA (Registered) (a)		3,166,017
	190,758	Logitech International SA (Registered) (a)		19,092,846
	119,112	Roche Holding AG – Genusschein		30,411,290
	57,953	Sandoz Group AG ADR (b)		2,056,752
	10,851	u-blox Holding AG		1,154,488
	3,995	Zehnder Group AG – Class RG		268,658
		Total Switzerland		59,088,556
		United Kingdom — 11.8%
	727,505	3i Group PLC		26,806,333
	212,374	BAE Systems PLC		3,781,535
	1,605,824	Barratt Developments PLC		10,412,889
	121,982	Bellway PLC		4,200,258
	11,667	Berkeley Group Holdings PLC		787,295
	29,019	British American Tobacco PLC		897,408
	1,877,091	BT Group PLC		3,142,692
	185,651	Coca-Cola HBC AG		6,300,122
	83,864	Crest Nicholson Holdings PLC		255,727
	26,184	CRH PLC		2,140,804
	488,845	Ferrexpo PLC *		260,530
	50,364	Galliford Try Holdings PLC		172,005
	345,636	GSK PLC		7,755,384
	398,417	GSK PLC Sponsored ADR		17,837,129
	103,137	Halfords Group PLC		203,471
	76,115	Investec PLC		509,325
	990,273	J Sainsbury PLC		3,510,957
	71,714	MONY Group PLC		207,626
	85,602	Next PLC		10,252,549
	59,045	Persimmon PLC		1,103,093
	209,285	Redrow PLC		1,911,105
	73,821	RELX PLC		3,238,519
	15,204	Rio Tinto PLC Sponsored ADR		1,065,800

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	984,229	Taylor Wimpey PLC		1,863,352
	105,543	Tesco PLC		419,839
	109,244	Vesuvius PLC		682,789
	872,051	Vodafone Group PLC Sponsored ADR		8,389,131
		Total United Kingdom		118,107,667
		TOTAL COMMON STOCKS (COST $884,818,494)		993,196,914
		PREFERRED STOCKS (c) — 0.3%
		Germany — 0.3%
	25,194	Bayerische Motoren Werke AG		2,435,636
	4,226	Draegerwerk AG & Co. KGaA		231,303
		Total Germany		2,666,939
		TOTAL PREFERRED STOCKS (COST $2,557,622)		2,666,939
		DEBT OBLIGATIONS — 0.2%
		United States — 0.2%
	2,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (d)		2,000,928
		TOTAL DEBT OBLIGATIONS (COST $2,000,453)		2,000,928
		MUTUAL FUNDS — 6.6%
		United States — 6.6%
		Affiliated Issuers — 6.6%
	13,259,347	GMO U.S. Treasury Fund		66,296,735
		Total United States		66,296,735
		TOTAL MUTUAL FUNDS (COST $66,296,735)		66,296,735
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	1,449,710	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e)		1,449,710
		TOTAL SHORT-TERM INVESTMENTS (COST $1,449,710)		1,449,710
		TOTAL INVESTMENTS — 106.5% (Cost $957,123,014)		1,065,611,226
		Other Assets and Liabilities (net) — (6.5)%		(65,186,234	)
		TOTAL NET ASSETS — 100.0%		$1,000,424,992

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

A summary of outstanding financial instruments at May 31, 2024 is as follows:

 

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
61	MSCI EAFE		June 2024	$	7,229,110	$	111,705

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

 

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(b) All or a portion of this security is out on loan.

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(e) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GMO International Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Australia — 4.0%
	398,600	BHP Group Ltd.		11,863,267
	157,112	BlueScope Steel Ltd.		2,217,147
	57,108	Fortescue Ltd.		943,718
	7,445	Rio Tinto Ltd.		640,378
	25,862	Westpac Banking Corp.		449,106
		Total Australia		16,113,616
		Austria — 1.1%
	61,506	OMV AG		3,108,417
	64,703	Raiffeisen Bank International AG		1,196,679
		Total Austria		4,305,096
		Belgium — 1.4%
	52,746	Ageas SA		2,631,377
	16,159	Groupe Bruxelles Lambert NV		1,239,182
	15,023	KBC Group NV		1,097,139
	8,249	Proximus SADP		65,033
	4,187	UCB SA		587,313
		Total Belgium		5,620,044
		Canada — 12.3%
	140,300	B2Gold Corp. (a)		395,284
	249,771	B2Gold Corp. (a)		699,359
	38,900	Bank of Nova Scotia (a)		1,841,467
	97,901	Bank of Nova Scotia (a)		4,633,654
	15,300	Canadian Imperial Bank of Commerce (a)		758,629
	81,492	Canadian Imperial Bank of Commerce (a)		4,037,114
	9,900	Canadian Tire Corp. Ltd. – Class A		988,148
	20,600	Canadian Western Bank		382,845
	9,600	CI Financial Corp.		103,047
	20,400	Empire Co. Ltd. – Class A		483,302
	13,700	Enerplus Corp. (b)		278,533
	36,600	Great-West Lifeco, Inc. (b)		1,097,772
	27,700	iA Financial Corp., Inc.		1,803,513
	4,700	Imperial Oil Ltd. (b)		332,081
	8,970	Magna International, Inc. (a) (b)		405,534
	25,100	Magna International, Inc. (a)		1,135,527
	81,174	Manulife Financial Corp. (a) (b)		2,107,277
	163,800	Manulife Financial Corp. (a)		4,254,389
	19,500	Nutrien Ltd. (a)		1,142,895
	57,200	Nutrien Ltd. (a)		3,351,967
	85,600	Parex Resources, Inc.		1,404,947
	111,500	Power Corp. of Canada		3,237,136
	9,700	Russel Metals, Inc.		260,266
	8,600	Sun Life Financial, Inc. (a) (b)		431,025
	67,772	Sun Life Financial, Inc. (a)		3,397,410
	169,500	Toronto-Dominion Bank		9,476,430
	13,800	West Fraser Timber Co. Ltd.		1,103,939
		Total Canada		49,543,490

Shares		Description	Value ($)
		Denmark — 1.1%
	861	AP Moller - Maersk AS – Class A		1,510,861
	1,116	AP Moller - Maersk AS – Class B		2,029,089
	51,720	H Lundbeck AS		284,146
	2,061	Pandora AS		338,541
	3,954	Svitzer AS *		155,013
		Total Denmark		4,317,650
		Finland — 1.5%
	935,847	Nokia OYJ		3,660,469
	166,184	Outokumpu OYJ		690,314
	40,108	Stora Enso OYJ – R Shares		587,556
	12,348	TietoEVRY OYJ		249,502
	36,531	Valmet OYJ		983,149
		Total Finland		6,170,990
		France — 13.5%
	15,714	APERAM SA		453,252
	4,936	Arkema SA		505,821
	104,649	BNP Paribas SA		7,724,835
	80,145	Carrefour SA		1,306,965
	71,684	Cie de Saint-Gobain SA		6,329,071
	5,193	Ipsen SA		681,245
	282,259	Orange SA		3,295,843
	103,990	Sanofi SA		10,180,823
	119,187	Societe Generale SA		3,569,988
	31,807	STMicroelectronics NV – NY Shares		1,334,940
	2,533	Teleperformance SE (b)		289,755
	221,683	TotalEnergies SE		16,241,481
	27,190	Valeo SE		336,295
	184,657	Vivendi SE		2,033,444
		Total France		54,283,758
		Germany — 4.1%
	13,809	Bayerische Motoren Werke AG		1,408,551
	41,682	Daimler Truck Holding AG		1,783,414
	218,542	Deutsche Bank AG (Registered)		3,636,639
	80,777	Fresenius SE & Co. KGaA *		2,577,294
	5,141	Henkel AG & Co. KGaA		411,948
	81,247	Mercedes-Benz Group AG		5,896,685
	74,475	ProSiebenSat.1 Media SE		619,077
		Total Germany		16,333,608
		Hong Kong — 3.2%
	315,500	BOC Hong Kong Holdings Ltd.		991,741
	604,000	CK Asset Holdings Ltd.		2,392,344
	671,500	CK Hutchison Holdings Ltd.		3,278,991
	66,000	Kerry Properties Ltd.		119,354
	358,500	Sun Hung Kai Properties Ltd.		3,464,009
	109,500	Swire Pacific Ltd. – Class A		953,160
	125,200	Swire Properties Ltd.		230,278
	1,800	VTech Holdings Ltd.		12,907

GMO International Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	1,968,000	WH Group Ltd.		1,341,105
		Total Hong Kong		12,783,889
		Italy — 4.5%
	112,803	Banco BPM SpA		813,871
	161,421	BPER Banca SpA		868,724
	166,670	Eni SpA		2,632,448
	143,801	Intesa Sanpaolo SpA		566,465
	109,436	Leonardo SpA *		2,814,905
	292,028	Stellantis NV		6,470,180
	47,195	Tenaris SA ADR		1,556,019
	246,093	Unipol Gruppo SpA		2,537,026
		Total Italy		18,259,638
		Japan — 18.9%
	88,600	Bridgestone Corp.		3,883,467
	62,000	Brother Industries Ltd.		1,193,284
	29,500	Chubu Electric Power Co., Inc.		407,565
	18,800	Credit Saison Co. Ltd.		407,569
	121,300	Daiwa House Industry Co. Ltd.		3,227,386
	357,500	ENEOS Holdings, Inc.		1,848,361
	170,424	Honda Motor Co. Ltd. Sponsored ADR		5,780,782
	170,500	Idemitsu Kosan Co. Ltd.		1,167,512
	227,100	Inpex Corp.		3,504,098
	95,400	Isuzu Motors Ltd.		1,278,544
	110,300	ITOCHU Corp.		5,206,888
	141,500	Japan Tobacco, Inc.		4,014,739
	72,500	KDDI Corp.		1,997,721
	97,300	Kirin Holdings Co. Ltd.		1,343,707
	119,200	Komatsu Ltd.		3,503,409
	800	Marubeni Corp.		15,668
	5,600	Mazda Motor Corp.		59,039
	54,800	Mitsubishi Electric Corp.		952,278
	6,000	Mitsubishi Gas Chemical Co., Inc.		112,611
	207,600	Mitsubishi UFJ Financial Group, Inc.		2,205,058
	82,200	Mitsui & Co. Ltd.		4,185,147
	62,000	Mitsui OSK Lines Ltd.		2,043,668
	108,800	Nippon Yusen KK		3,449,518
	152,700	Ono Pharmaceutical Co. Ltd.		2,211,229
	155,100	ORIX Corp.		3,382,426
	79,100	Otsuka Holdings Co. Ltd.		3,265,679
	414,800	Panasonic Holdings Corp.		3,663,861
	12,200	Sekisui House Ltd.		274,714
	59,800	Shionogi & Co. Ltd.		2,694,175
	29,800	Sojitz Corp.		779,622
	50,700	Sumitomo Forestry Co. Ltd.		1,755,442
	7,100	Sumitomo Heavy Industries Ltd.		193,179
	25,000	Takeda Pharmaceutical Co. Ltd.		665,624
	41,700	Tosoh Corp.		529,158
	42,000	Toyota Tsusho Corp.		2,564,896
	248,100	Yamaha Motor Co. Ltd.		2,429,327
		Total Japan		76,197,351

Shares		Description	Value ($)
		Netherlands — 5.9%
	36,646	ASR Nederland NV		1,773,607
	24,610	EXOR NV		2,763,718
	329,412	ING Groep NV		5,885,062
	131,577	Koninklijke Ahold Delhaize NV		4,080,600
	133,539	Koninklijke Philips NV *		3,647,598
	59,048	NN Group NV		2,755,126
	18,093	Randstad NV		956,248
	73,048	Signify NV		1,996,030
		Total Netherlands		23,857,989
		Norway — 1.2%
	167,750	Equinor ASA		4,869,402
		Portugal — 0.0%
	4,483	Sonae SGPS SA		4,628
		Russia — 0.0%
	9,800	Surgutneftegas PJSC (c)		31
		Singapore — 0.9%
	288,400	Oversea-Chinese Banking Corp. Ltd.		3,103,786
	22,200	United Overseas Bank Ltd.		506,206
		Total Singapore		3,609,992
		Spain — 5.0%
	48,842	Acerinox SA		535,010
	539,814	Banco Bilbao Vizcaya Argentaria SA		5,857,713
	1,701,823	Banco de Sabadell SA		3,594,745
	1,298,111	Banco Santander SA		6,845,908
	200,168	Repsol SA		3,267,681
		Total Spain		20,101,057
		Sweden — 1.4%
	10,418	Swedbank AB – Class A		216,917
	448,180	Telefonaktiebolaget LM Ericsson – B Shares		2,761,487
	5,033	Volvo AB – A Shares		136,779
	95,009	Volvo AB – B Shares		2,557,157
		Total Sweden		5,672,340
		Switzerland — 7.1%
	49,018	Adecco Group AG (Registered)		1,860,273
	7,840	Holcim AG		688,743
	85,101	Novartis AG Sponsored ADR		8,776,466
	14,788	Novartis AG (Registered)		1,530,528
	3,267	Roche Holding AG		914,326
	48,297	Roche Holding AG – Genusschein		12,331,033
	13,024	Sandoz Group AG ADR		462,222
	2,009	Swatch Group AG		430,344
	2,825	Swisscom AG (Registered)		1,567,196
		Total Switzerland		28,561,131

GMO International Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 11.5%
	108,421	3i Group PLC		3,994,982
	114,595	abrdn PLC		228,024
	2,031,903	BT Group PLC		3,401,884
	21,166	Coca-Cola HBC AG		718,274
	139,303	GSK PLC Sponsored ADR		6,236,595
	210,472	HSBC Holdings PLC Sponsored ADR		9,397,575
	1,093,396	ITV PLC		1,113,682
	381,882	Kingfisher PLC		1,292,827
	7,005,256	Lloyds Banking Group PLC		5,000,777
	696,992	NatWest Group PLC		2,819,540
	40,917	Rio Tinto PLC Sponsored ADR		2,868,282
	72,992	Standard Chartered PLC		727,044
	81,302	Unilever PLC Sponsored ADR		4,451,284
	411,345	Vodafone Group PLC Sponsored ADR		3,957,139
		Total United Kingdom		46,207,909
		TOTAL COMMON STOCKS (COST $361,532,371)		396,813,609
		PREFERRED STOCKS (d) — 0.5%
		Germany — 0.5%
	4,681	Bayerische Motoren Werke AG		452,537
	5,463	Henkel AG & Co. KGaA		494,568
	7,728	Volkswagen AG		971,109
		Total Germany		1,918,214
		TOTAL PREFERRED STOCKS (COST $1,863,596)		1,918,214
		MUTUAL FUNDS — 2.4%
		United States — 2.4%
		Affiliated Issuers — 2.4%
	1,906,000	GMO U.S. Treasury Fund		9,530,001
		Total United States		9,530,001
		TOTAL MUTUAL FUNDS (COST $9,530,001)		9,530,001
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	2,386,758	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e)		2,386,758
		TOTAL SHORT-TERM INVESTMENTS (COST $2,386,758)		2,386,758
		TOTAL INVESTMENTS — 102.1% (Cost $375,312,726)		410,648,582
		Other Assets and Liabilities (net) — (2.1)%		(8,417,083	)
		TOTAL NET ASSETS — 100.0%		$402,231,499

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(b) All or a portion of this security is out on loan.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of May 31, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

	Shares		Description	Value ($)
			COMMON STOCKS — 94.8%
			Automobiles & Components — 6.7%
		456,100	Isuzu Motors Ltd.		6,112,621
		294,500	Stanley Electric Co. Ltd.		5,417,917
			Total Automobiles & Components		11,530,538
			Banks — 7.5%
		113,700	Sumitomo Mitsui Financial Group, Inc.		7,441,561
		235,000	Sumitomo Mitsui Trust Holdings, Inc.		5,463,644
			Total Banks		12,905,205
			Capital Goods — 23.4%
		257,900	EXEO Group, Inc.		2,646,095
		313,000	Fuji Corp.		5,065,842
		209,000	Fujikura Ltd.		4,312,808
		362,100	Kanematsu Corp.		6,212,476
		57,000	Kyudenko Corp.		2,321,083
		445,200	Mitsubishi Electric Corp.		7,736,392
		934,000	Penta-Ocean Construction Co. Ltd.		3,761,725
		224,000	THK Co. Ltd.		4,343,849
		41,600	Toyota Industries Corp.		3,923,326
			Total Capital Goods		40,323,596
			Consumer Durables & Apparel — 5.6%
		371,600	Sega Sammy Holdings, Inc.		5,248,807
		196,800	Yamaha Corp.		4,478,112
			Total Consumer Durables & Apparel		9,726,919
			Financial Services — 5.4%
		262,400	Credit Saison Co. Ltd.		5,688,621
		98,700	Zenkoku Hosho Co. Ltd.		3,536,665
			Total Financial Services		9,225,286
			Food, Beverage & Tobacco — 7.7%
		280,900	Kirin Holdings Co. Ltd.		3,879,212
		197,200	Morinaga & Co. Ltd.		3,154,043
		201,800	NH Foods Ltd.		6,194,352
			Total Food, Beverage & Tobacco		13,227,607
			Health Care Equipment & Services — 3.9%
		425,500	H.U. Group Holdings, Inc.		6,799,097
			Insurance — 6.3%
		158,700	MS&AD Insurance Group Holdings, Inc.		3,300,946
		422,100	T&D Holdings, Inc.		7,630,871
			Total Insurance		10,931,817
			Materials — 7.6%
		325,400	Denka Co. Ltd.		4,597,365
		143,900	Maruichi Steel Tube Ltd.		3,433,577
		799,100	Tokai Carbon Co. Ltd.		5,081,434
			Total Materials		13,112,376

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 7.3%
	388,400	Rohm Co. Ltd.		5,034,240
	505,500	SUMCO Corp.		7,599,345
		Total Semiconductors & Semiconductor Equipment		12,633,585
		Software & Services — 3.0%
	69,000	NEC Corp.		5,136,206
		Technology Hardware & Equipment — 8.0%
	165,600	Amano Corp.		3,981,045
	253,800	Daiwabo Holdings Co. Ltd.		4,490,084
	234,500	FUJIFILM Holdings Corp.		5,354,985
		Total Technology Hardware & Equipment		13,826,114
		Transportation — 2.4%
	116,100	Sankyu, Inc.		4,193,532
		TOTAL COMMON STOCKS (COST $159,352,811)		163,571,878
		SHORT-TERM INVESTMENTS — 3.8%
		Money Market Funds — 3.8%
	6,580,191	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		6,580,191
		TOTAL SHORT-TERM INVESTMENTS (COST $6,580,191)		6,580,191
		TOTAL INVESTMENTS — 98.6% (Cost $165,933,002)		170,152,069
		Other Assets and Liabilities (net) — 1.4%		2,399,375
		TOTAL NET ASSETS — 100.0%		$172,551,444

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Brazil — 0.1%
	9,452	Vale SA		113,765
		Canada — 4.8%
	9,808	Brookfield Asset Management Ltd. – Class A		384,866
	50,700	Brookfield Corp. – Class A		2,204,943
	19,696	Nutrien Ltd.		1,154,383
		Total Canada		3,744,192
		Finland — 1.3%
	47,257	Neste OYJ		992,126
		France — 5.9%
	1,925	LVMH Moet Hennessy Louis Vuitton SE		1,539,506
	13,063	Safran SA		3,059,422
		Total France		4,598,928
		Germany — 2.6%
	12,816	Beiersdorf AG		2,009,253
		Hong Kong — 1.1%
	181,619	Galaxy Entertainment Group Ltd.		875,076
		Ireland — 3.1%
	19,745	Ryanair Holdings PLC Sponsored ADR		2,401,782
		Mexico — 6.6%
	223,635	Fomento Economico Mexicano SAB de CV		2,561,986
	423,706	Grupo Mexico SAB de CV – Series B		2,614,183
		Total Mexico		5,176,169
		Netherlands — 0.5%
	2,694	IMCD NV		411,118
		Russia — 0.1%
	33,541	LUKOIL PJSC (a)		27,259
	72,920	Novatek PJSC (a)		8,727
		Total Russia		35,986
		Spain — 6.5%
	32,900	Amadeus IT Group SA		2,348,481
	58,070	Industria de Diseno Textil SA		2,761,319
		Total Spain		5,109,800
		United Kingdom — 10.7%
	27,162	Berkeley Group Holdings PLC		1,832,905
	95,034	Compass Group PLC		2,668,194
	43,537	Howden Joinery Group PLC		507,764
	64,324	Persimmon PLC		1,201,717
	60,286	Shell PLC		2,176,008
		Total United Kingdom		8,386,588

Shares		Description	Value ($)
		United States — 55.4%
	13,650	Alphabet, Inc. – Class A *		2,354,625
	12,958	American Express Co.		3,109,920
	775	Booking Holdings, Inc.		2,926,671
	45,837	BorgWarner, Inc.		1,634,547
	19,595	CarMax, Inc. *		1,376,745
	10,049	Chevron Corp.		1,630,953
	36,541	Darling Ingredients, Inc. *		1,476,256
	2,867	Enphase Energy, Inc. *		366,689
	18,236	EOG Resources, Inc.		2,271,294
	6,766	General Electric Co.		1,117,337
	20,943	Green Plains, Inc. *		359,591
	9,643	Hilton Worldwide Holdings, Inc.		1,934,386
	20,894	Intercontinental Exchange, Inc.		2,797,707
	2,416	Lam Research Corp.		2,252,775
	41,835	Las Vegas Sands Corp.		1,883,830
	1,378	Markel Group, Inc. *		2,262,111
	5,050	Meta Platforms, Inc. – Class A		2,357,492
	22,763	Micron Technology, Inc.		2,845,375
	14,655	Otis Worldwide Corp.		1,453,776
	11,232	SolarEdge Technologies, Inc. *		550,256
	10,003	Texas Instruments, Inc.		1,950,685
	38,739	U.S. Bancorp		1,570,867
	47,057	Wells Fargo & Co.		2,819,655
		Total United States		43,303,543
		TOTAL COMMON STOCKS (COST $55,955,278)		77,158,326
		PREFERRED STOCKS (b) — 1.0%
		Brazil — 1.0%
	220,997	Bradespar SA		808,079
		TOTAL PREFERRED STOCKS (COST $980,466)		808,079
		MUTUAL FUNDS — 3.5%
		United States — 3.5%
		Affiliated Issuers — 3.5%
	550,206	GMO U.S. Treasury Fund		2,751,028
		Total United States		2,751,028
		TOTAL MUTUAL FUNDS (COST $2,751,027)		2,751,028

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 1.1%
	844,371	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (c)		844,371
		TOTAL SHORT-TERM INVESTMENTS (COST $844,371)		844,371
		TOTAL INVESTMENTS — 104.3% (Cost $60,531,142)		81,561,804
		Other Assets and Liabilities (net) — (4.3)%		(3,371,264	)
		TOTAL NET ASSETS — 100.0%		$78,190,540

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of May 31, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.8%
		Banks — 4.1%
	4,633,534	U.S. Bancorp		187,889,804
	3,644,860	Wells Fargo & Co.		218,400,011
		Total Banks		406,289,815
		Capital Goods — 6.3%
	543,215	General Electric Co.		89,706,525
	480,068	Knorr-Bremse AG		36,971,450
	1,892,810	Otis Worldwide Corp.		187,766,752
	1,300,979	Safran SA		304,696,033
		Total Capital Goods		619,140,760
		Consumer Discretionary Distribution & Retail — 4.7%
	1,335,535	Amazon.com, Inc. *		235,641,796
	2,173,484	TJX Cos., Inc.		224,086,200
		Total Consumer Discretionary Distribution & Retail		459,727,996
		Consumer Durables & Apparel — 1.4%
	166,536	LVMH Moet Hennessy Louis Vuitton SE		133,186,034
		Consumer Services — 3.5%
	966,608	Amadeus IT Group SA		68,998,819
	8,055,112	Compass Group PLC		226,156,947
	248,995	Hilton Worldwide Holdings, Inc.		49,948,397
		Total Consumer Services		345,104,163
		Financial Services — 3.0%
	434,683	American Express Co.		104,323,920
	689,184	Visa, Inc. – Class A		187,775,073
		Total Financial Services		292,098,993
		Food, Beverage & Tobacco — 7.0%
	4,671,919	Coca-Cola Co.		294,003,863
	578,227	Constellation Brands, Inc. – Class A		144,689,742
	3,323,000	Diageo PLC		111,876,712
	1,321,898	Nestle SA (Registered)		140,314,318
		Total Food, Beverage & Tobacco		690,884,635
		Health Care Equipment & Services — 14.1%
	2,281,398	Abbott Laboratories		233,136,062
	409,316	Cigna Group		141,058,480
	520,264	Elevance Health, Inc.		280,151,759
	574,963	Intuitive Surgical, Inc. *		231,204,121
	853,909	Quest Diagnostics, Inc.		121,229,461
	777,598	UnitedHealth Group, Inc.		385,198,721
		Total Health Care Equipment & Services		1,391,978,604
		Household & Personal Products — 3.6%
	30,233,444	Haleon PLC		125,631,975

Shares		Description	Value ($)
		Household & Personal Products — continued
	4,094,142	Unilever PLC		224,207,804
		Total Household & Personal Products		349,839,779
		Media & Entertainment — 8.3%
	2,588,233	Alphabet, Inc. – Class A *		446,470,192
	788,878	Meta Platforms, Inc. – Class A		368,271,917
		Total Media & Entertainment		814,742,109
		Pharmaceuticals, Biotechnology & Life Sciences — 9.8%
	250,142	Eli Lilly & Co.		205,201,488
	2,267,185	Johnson & Johnson		332,528,024
	1,872,600	Merck & Co., Inc.		235,086,204
	392,389	Roche Holding AG – Genusschein		100,183,488
	168,099	Thermo Fisher Scientific, Inc.		95,476,870
		Total Pharmaceuticals, Biotechnology & Life Sciences		968,476,074
		Semiconductors & Semiconductor Equipment — 11.1%
	269,100	KLA Corp.		204,389,523
	299,112	Lam Research Corp.		278,903,993
	11,930,790	Taiwan Semiconductor Manufacturing Co. Ltd.		305,522,851
	1,587,001	Texas Instruments, Inc.		309,481,065
		Total Semiconductors & Semiconductor Equipment		1,098,297,432
		Software & Services — 16.2%
	791,181	Accenture PLC – Class A		223,342,484
	1,502,991	Microsoft Corp.		623,936,654
	2,252,464	Oracle Corp.		263,966,256
	827,091	Salesforce, Inc.		193,903,214
	1,610,616	SAP SE		293,709,246
		Total Software & Services		1,598,857,854
		Technology Hardware & Equipment — 3.7%
	1,904,569	Apple, Inc.		366,153,390
		TOTAL COMMON STOCKS (COST $5,001,793,164)		9,534,777,638
		MUTUAL FUNDS — 3.1%
		Affiliated Issuers — 3.1%
	60,413,811	GMO U.S. Treasury Fund		302,069,053
		TOTAL MUTUAL FUNDS (COST $302,019,235)		302,069,053

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	1,428,818	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		1,428,818
		TOTAL SHORT-TERM INVESTMENTS (COST $1,428,818)		1,428,818
		TOTAL INVESTMENTS — 99.9% (Cost $5,305,241,217)		9,838,275,509
		Other Assets and Liabilities (net) — 0.1%		13,266,308
		TOTAL NET ASSETS — 100.0%		$9,851,541,817

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.8%
		Argentina — 0.6%
	78,620	Adecoagro SA		773,621
		Australia — 2.1%
	88,540	BHP Group Ltd.		2,635,157
	578,245	Sunrise Energy Metals Ltd. *		194,789
		Total Australia		2,829,946
		Brazil — 5.4%
	230,500	Sao Martinho SA		1,191,371
	106,360	SLC Agricola SA		360,954
	73,000	Suzano SA		677,046
	410,300	Vale SA		4,938,384
		Total Brazil		7,167,755
		Canada — 13.7%
	273,200	Anaergia, Inc. * (a)		60,134
	155,400	First Quantum Minerals Ltd.		1,996,444
	290,754	Greenlane Renewables, Inc. *		20,266
	686,500	Ivanhoe Mines Ltd. – Class A*		9,912,557
	531,300	Largo, Inc. * (b)		1,173,347
	171,500	Li-Cycle Holdings Corp. *		88,271
	307,400	NexGen Energy Ltd. *		2,395,237
	25,700	Teck Resources Ltd. – Class B (c)		1,337,685
	26,000	Teck Resources Ltd. – Class B (c)		1,352,317
		Total Canada		18,336,258
		China — 1.9%
	305,700	Henan Shenhuo Coal & Power Co. Ltd. – Class A		975,854
	608,669	Western Mining Co. Ltd. – Class A		1,564,788
		Total China		2,540,642
		Finland — 1.3%
	84,236	Neste OYJ		1,768,472
		France — 2.7%
	7,254	Eramet SA *		837,580
	81,905	Veolia Environnement SA		2,741,920
		Total France		3,579,500
		Italy — 0.8%
	61,074	Tenaris SA		1,009,086
		Japan — 0.2%
	3,900	Organo Corp.		219,680
		Mexico — 2.9%
	632,200	Grupo Mexico SAB de CV – Series B		3,900,551
		Norway — 0.6%
	103,614	Austevoll Seafood ASA		845,524

Shares		Description	Value ($)
		South Africa — 4.3%
	78,899	African Rainbow Minerals Ltd.		955,233
	665,575	Impala Platinum Holdings Ltd.		3,428,610
	1,109,977	Sibanye Stillwater Ltd.		1,400,955
		Total South Africa		5,784,798
		Spain — 1.2%
	122,508	Solaria Energia y Medio Ambiente SA *		1,577,537
		Sweden — 3.4%
	130,142	Boliden AB		4,561,893
		United Kingdom — 9.3%
	1,639,598	Glencore PLC		10,105,983
	31,739	Rio Tinto PLC		2,234,342
		Total United Kingdom		12,340,325
		United States — 40.4%
	6,000	Advanced Drainage Systems, Inc.		1,040,940
	67,919	Aemetis, Inc. *		234,320
	11,100	AGCO Corp.		1,191,363
	162,890	Ameresco, Inc. – Class A *		5,948,743
	472,274	Arcadium Lithium PLC *		2,092,174
	168,200	Array Technologies, Inc. *		2,385,076
	383,020	Clean Energy Fuels Corp. *		1,198,853
	41,700	Corteva, Inc.		2,332,698
	231,700	Darling Ingredients, Inc. *		9,360,680
	1,700	Deere & Co.		637,092
	18,300	Enphase Energy, Inc. *		2,340,570
	12,100	First Solar, Inc. *		3,288,296
	52,900	Freeport-McMoRan, Inc.		2,789,417
	484,566	GrafTech International Ltd. *		799,534
	198,200	Green Plains, Inc. *		3,403,094
	34,300	Liberty Energy, Inc.		846,867
	7,200	NEXTracker, Inc. – Class A*		397,224
	3,900	Ormat Technologies, Inc.		294,060
	31,100	PotlatchDeltic Corp. – (REIT)		1,328,903
	41,400	ProPetro Holding Corp. *		396,612
	79,800	SolarEdge Technologies, Inc. *		3,909,402
	452,837	Sunrun, Inc. *		6,548,023
	2,400	Valmont Industries, Inc.		603,360
	4,800	Veralto Corp.		473,184
		Total United States		53,840,485
		TOTAL COMMON STOCKS (COST $160,373,150)		121,076,073
		PREFERRED STOCKS (d) — 7.6%
		Brazil — 4.5%
	1,642,065	Bradespar SA		6,004,237

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Chile — 3.1%
	87,300	Sociedad Quimica y Minera de Chile SA Sponsored ADR		4,076,910
		TOTAL PREFERRED STOCKS (COST $16,633,155)		10,081,147
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers — 1.4%
	374,690	GMO U.S. Treasury Fund		1,873,450
		Total United States		1,873,450
		TOTAL MUTUAL FUNDS (COST $1,873,450)		1,873,450

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) All or a portion of this security is out on loan.

(c) Securities are traded on separate exchanges for the same entity.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of May 31, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	258,764	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e)		258,764
		TOTAL SHORT-TERM INVESTMENTS (COST $258,764)		258,764
		TOTAL INVESTMENTS — 100.0% (Cost $179,138,519)		133,289,434
		Other Assets and Liabilities (net) — 0.0%		53,901
		TOTAL NET ASSETS — 100.0%		$133,343,335

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.9%
		Argentina — 1.4%
	806,669	Adecoagro SA		7,937,623
	996,900	YPF SA Sponsored ADR *		23,138,049
		Total Argentina		31,075,672
		Australia — 1.9%
	4,203,960	Beach Energy Ltd. (a)		4,713,576
	991,373	BHP Group Ltd.		29,505,575
	735,000	Clean TeQ Water Ltd. *		139,239
	1,632,228	Santos Ltd.		8,293,528
	1,938,657	Sunrise Energy Metals Ltd. *		653,060
		Total Australia		43,304,978
		Austria — 1.3%
	580,832	OMV AG (a)		29,354,345
		Brazil — 3.7%
	1,229,400	Enauta Participacoes SA *		5,183,667
	356,500	PRIO SA		2,825,033
	2,330,928	Sao Martinho SA		12,047,723
	1,152,482	SLC Agricola SA		3,911,183
	715,000	Suzano SA		6,631,339
	4,500,768	Vale SA		54,171,387
		Total Brazil		84,770,332
		Canada — 9.9%
	654,900	Anaergia, Inc. * (b)		144,151
	587,800	ARC Resources Ltd. (a)		11,122,464
	1,603,300	First Quantum Minerals Ltd.		20,597,808
	696,749	Greenlane Renewables, Inc. *		48,565
	7,086,700	Ivanhoe Mines Ltd. – Class A * (a)		102,326,759
	1,273,509	Largo, Inc. * (a)		2,812,474
	1,740,100	Li-Cycle Holdings Corp. * (a)		895,629
	409,165	Logan Energy Corp. *		258,177
	3,665,200	NexGen Energy Ltd. * (a)		28,558,952
	832,300	Tamarack Valley Energy Ltd. (a)		2,344,937
	263,200	Teck Resources Ltd. – Class B (c)		13,699,560
	263,400	Teck Resources Ltd. – Class B (c)		13,700,008
	92,200	Tourmaline Oil Corp. (a)		4,573,640
	662,200	Veren, Inc. (a)		5,767,762
	1,167,100	Vermilion Energy, Inc.		14,448,698
	726,000	Whitecap Resources, Inc. (a)		5,683,569
		Total Canada		226,983,153
		China — 1.1%
	3,112,700	Henan Shenhuo Coal & Power Co. Ltd. – Class A		9,936,347
	6,237,345	Western Mining Co. Ltd. – Class A		16,035,183
		Total China		25,971,530
		Finland — 0.8%
	933,407	Neste OYJ		19,596,189

Shares		Description	Value ($)
		France — 1.6%
	74,981	Eramet SA * (a)		8,657,644
	845,154	Veolia Environnement SA		28,293,085
		Total France		36,950,729
		Hong Kong — 0.3%
	93,302,000	United Energy Group Ltd. (a)		7,639,170
		Hungary — 0.5%
	1,375,658	MOL Hungarian Oil & Gas PLC		10,700,529
		Israel — 0.0%
	1	Equital Ltd. *		19
		Italy — 2.1%
	2,348,801	Eni SpA		37,097,835
	682,149	Tenaris SA		11,270,703
		Total Italy		48,368,538
		Japan — 0.2%
	52,900	Japan Petroleum Exploration Co. Ltd.		2,227,242
	45,400	Organo Corp.		2,557,301
		Total Japan		4,784,543
		Mexico — 2.8%
	6,529,140	Grupo Mexico SAB de CV – Series B		40,283,522
	504,700	Vista Energy SAB de CV ADR *		24,452,715
		Total Mexico		64,736,237
		Norway — 2.7%
	500,469	Aker BP ASA		12,920,771
	1,069,161	Austevoll Seafood ASA		8,724,701
	1,349,971	Equinor ASA		39,186,593
		Total Norway		60,832,065
		Portugal — 3.7%
	4,080,354	Galp Energia SGPS SA		85,806,216
		Russia — 0.1%
	3,574,704	Gazprom Neft PJSC (d)		266,013
	14,145,410	Gazprom PJSC * (d)		195,775
	23,291,700	GMK Norilskiy Nickel PAO (d)		362,982
	248,399	LUKOIL PJSC (d)		201,878
	9	MMC Norilsk Nickel PJSC ADR * (d)		—
	338,098	PhosAgro PJSC (d)		222,021
	6,533	PhosAgro PJSC GDR (d) (e)		1,431
	2	PhosAgro PJSC GDR (Registered) * (d)		—
	3,476,399	Tatneft PJSC (d)		264,887
		Total Russia		1,514,987
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd. * (a) (d)		2

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		South Africa — 2.6%
	797,962	African Rainbow Minerals Ltd.		9,660,961
	6,806,640	Impala Platinum Holdings Ltd.		35,063,386
	11,414,513	Sibanye Stillwater Ltd.		14,406,802
		Total South Africa		59,131,149
		Spain — 2.6%
	2,493,702	Repsol SA		40,708,915
	1,406,355	Solaria Energia y Medio Ambiente SA * (a)		18,109,649
		Total Spain		58,818,564
		Sweden — 2.1%
	1,342,891	Boliden AB		47,072,623
		Ukraine — 0.1%
	501,341	Kernel Holding SA *		1,419,658
		United Kingdom — 13.0%
	11,013,329	BP PLC		68,893,711
	16,918,435	Glencore PLC		104,280,079
	4,479,866	Harbour Energy PLC		19,060,713
	1,221,000	Lifezone Holdings Ltd. *		11,013,420
	326,239	Rio Tinto PLC		22,966,371
	1,994,748	Shell PLC		71,999,926
		Total United Kingdom		298,214,220
		United States — 35.4%
	65,000	Advanced Drainage Systems, Inc.		11,276,850
	687,620	Aemetis, Inc. * (a)		2,372,289
	112,600	AGCO Corp.		12,085,358
	1,080,185	Ameresco, Inc. – Class A*		39,448,356
	4,880,721	Arcadium Lithium PLC * (a)		21,621,594
	1,793,800	Array Technologies, Inc. *		25,436,084
	281,800	Berry Corp.		1,964,146
	706,400	California Resources Corp.		33,448,040
	52,974	Chord Energy Corp.		9,821,909
	3,917,513	Clean Energy Fuels Corp. *		12,261,816
	552,100	ConocoPhillips		64,308,608
	430,800	Corteva, Inc.		24,098,952
	2,395,200	Darling Ingredients, Inc. *		96,766,080
	16,800	Deere & Co.		6,295,968
	192,300	Enphase Energy, Inc. *		24,595,170
	123,800	First Solar, Inc. *		33,643,888
	546,282	Freeport-McMoRan, Inc.		28,805,450
	4,836,257	GrafTech International Ltd. * (a)		7,979,824
	2,047,393	Green Plains, Inc. *		35,153,738
	63,300	Gulfport Energy Corp. *		10,242,573
	20,248,155	Kosmos Energy Ltd. *		123,513,746
	371,100	Liberty Energy, Inc.		9,162,459
	313,200	Marathon Oil Corp.		9,070,272
	105,500	NEXTracker, Inc. – Class A*		5,820,435
	70,100	Northern Oil & Gas, Inc.		2,869,193
	42,700	Ormat Technologies, Inc.		3,219,580
	314,900	PotlatchDeltic Corp. – (REIT)		13,455,677

Shares		Description	Value ($)
		United States — continued
	450,700	ProPetro Holding Corp. *		4,317,706
	105,700	SilverBow Resources, Inc. *		4,143,440
	153,400	SM Energy Co.		7,735,962
	827,524	SolarEdge Technologies, Inc. *		40,540,401
	4,663,442	Sunrun, Inc. * (a)		67,433,371
	408,200	Talos Energy, Inc. *		4,902,482
	28,000	Valmont Industries, Inc.		7,039,200
	50,600	Veralto Corp.		4,988,148
		Total United States		809,838,765
		TOTAL COMMON STOCKS (COST $2,106,261,538)		2,056,884,213
		PREFERRED STOCKS (f) — 7.9%
		Brazil — 6.0%
	16,849,926	Bradespar SA		61,612,024
	10,123,681	Petroleo Brasileiro SA		74,786,720
		Total Brazil		136,398,744
		Chile — 1.9%
	944,295	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		44,098,576
		Russia — 0.0%
	20,237,584	Surgutneftegas PJSC (d)		151,594
	7,494,797	Tatneft PJSC (d)		564,690
		Total Russia		716,284
		TOTAL PREFERRED STOCKS (COST $238,614,882)		181,213,604
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	7,936,358	GMO U.S. Treasury Fund		39,681,789
		Total United States		39,681,789
		TOTAL MUTUAL FUNDS (COST $39,679,907)		39,681,789
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	72,191	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (g)		72,191
		TOTAL SHORT-TERM INVESTMENTS (COST $72,191)		72,191
		TOTAL INVESTMENTS — 99.5% (Cost $2,384,628,518)		2,277,851,797
		Other Assets and Liabilities (net) — 0.5%		10,872,079
		TOTAL NET ASSETS — 100.0%	$2,288,723,876

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
PhosAgro PJSC GDR	08/26/16	$	93,496	0.0%	$	1,431

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) Investment valued using significant unobservable inputs.

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(e) The security is restricted as to resale.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) The rate disclosed is the 7 day net yield as of May 31, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

 

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Automobiles & Components — 3.9%
	278,541	Gentex Corp.		9,748,935
	44,512	XPEL, Inc. *		1,691,456
		Total Automobiles & Components		11,440,391
		Capital Goods — 17.3%
	126,243	AAON, Inc.		9,474,537
	22,302	Allegion PLC		2,716,830
	27,409	Atkore, Inc.		4,170,279
	57,717	AZEK Co., Inc. *		2,768,107
	26,244	Curtiss-Wright Corp.		7,422,328
	12,577	Kadant, Inc.		3,597,148
	10,114	Preformed Line Products Co.		1,358,715
	40,668	RBC Bearings, Inc. *		12,008,447
	41,734	Woodward, Inc.		7,783,391
		Total Capital Goods		51,299,782
		Commercial & Professional Services — 1.8%
	24,070	FTI Consulting, Inc. *		5,170,236
		Consumer Discretionary Distribution & Retail — 3.7%
	131,176	Ollie’s Bargain Outlet Holdings, Inc. *		10,812,838
		Consumer Durables & Apparel — 7.9%
	161,830	Acushnet Holdings Corp.		10,664,597
	142,949	Malibu Boats, Inc. – Class A *		5,497,818
	17,442	TopBuild Corp. *		7,289,884
		Total Consumer Durables & Apparel		23,452,299
		Consumer Staples Distribution & Retail — 1.7%
	60,611	PriceSmart, Inc.		5,100,416
		Energy — 1.6%
	92,661	Cactus, Inc. – Class A		4,758,142
		Financial Services — 12.1%
	71,921	Cohen & Steers, Inc.		5,055,327
	182,036	Essent Group Ltd.		10,321,441
	73,639	Houlihan Lokey, Inc.		9,967,039
	240,313	StepStone Group, Inc. – Class A		10,319,040
		Total Financial Services		35,662,847
		Food, Beverage & Tobacco — 6.6%
	49,408	J & J Snack Foods Corp.		8,039,176
	16,379	John B Sanfilippo & Son, Inc.		1,651,495
	53,189	Lancaster Colony Corp.		9,866,559
		Total Food, Beverage & Tobacco		19,557,230
		Health Care Equipment & Services — 5.5%
	187,738	Globus Medical, Inc. – Class A *		12,599,097

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	287,431	Neogen Corp. *		3,779,718
		Total Health Care Equipment & Services		16,378,815
		Materials — 5.6%
	62,743	AptarGroup, Inc.		9,266,514
	46,811	Balchem Corp.		7,190,169
		Total Materials		16,456,683
		Media & Entertainment — 3.6%
	207,511	New York Times Co. – Class A		10,624,563
		Pharmaceuticals, Biotechnology & Life Sciences — 1.3%
	10,266	Medpace Holdings, Inc. *		3,966,166
		Semiconductors & Semiconductor Equipment — 10.6%
	74,903	Axcelis Technologies, Inc. *		8,425,839
	85,282	Cirrus Logic, Inc. *		9,781,845
	108,029	Power Integrations, Inc.		8,211,284
	39,727	SolarEdge Technologies, Inc. *		1,946,226
	16,528	Universal Display Corp.		2,903,970
		Total Semiconductors & Semiconductor Equipment		31,269,164
		Software & Services — 3.7%
	80,718	ASGN, Inc. *		7,580,227
	40,252	Dolby Laboratories, Inc. – Class A		3,260,815
		Total Software & Services		10,841,042
		Technology Hardware & Equipment — 5.2%
	161,602	Ciena Corp. *		7,784,369
	32,293	Fabrinet *		7,735,142
		Total Technology Hardware & Equipment		15,519,511
		Transportation — 5.1%
	47,256	ArcBest Corp.		4,986,453
	55,612	Landstar System, Inc.		10,123,052
		Total Transportation		15,109,505
		TOTAL COMMON STOCKS (COST $263,656,678)		287,419,630
		MUTUAL FUNDS — 2.6%
		Affiliated Issuers — 2.6%
	1,556,677	GMO U.S. Treasury Fund		7,783,387
		TOTAL MUTUAL FUNDS (COST $7,783,387)		7,783,387

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	312,509	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		312,509
		TOTAL SHORT-TERM INVESTMENTS (COST $312,509)		312,509
		TOTAL INVESTMENTS — 99.9% (Cost $271,752,574)	295,515,526
		Other Assets and Liabilities (net) — 0.1%		313,528
		TOTAL NET ASSETS — 100.0%	$295,829,054

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

 

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.4%
		Automobiles & Components — 1.9%
	1,827	BorgWarner, Inc.		65,151
	37,420	Ford Motor Co.		453,905
	44,160	General Motors Co.		1,986,758
		Total Automobiles & Components		2,505,814
		Banks — 3.7%
	10,294	Bank of America Corp.		411,657
	1,900	Capital City Bank Group, Inc.		51,604
	29,709	Citigroup, Inc.		1,851,168
	2,000	Community Trust Bancorp, Inc.		84,220
	5,400	Farmers National Banc Corp.		65,988
	1,500	First Financial Corp.		55,560
	4,100	Independent Bank Corp.		102,746
	11,025	JPMorgan Chase & Co.		2,233,996
		Total Banks		4,856,939
		Capital Goods — 7.8%
	584	Acuity Brands, Inc.		151,612
	1,140	AGCO Corp.		122,356
	6,110	Allison Transmission Holdings, Inc.		463,199
	8,146	Builders FirstSource, Inc. *		1,309,795
	9,918	Core & Main, Inc. – Class A *		570,880
	5,021	Cummins, Inc.		1,414,566
	807	Eaton Corp. PLC		268,610
	7,634	Ferguson PLC		1,570,619
	7,358	Gates Industrial Corp. PLC *		128,177
	3,501	GMS, Inc. *		328,954
	10,000	Masterbrand, Inc. *		167,100
	583	Oshkosh Corp.		66,305
	6,055	PACCAR, Inc.		650,913
	661	Tennant Co.		67,858
	4,342	Trane Technologies PLC		1,421,831
	959	UFP Industries, Inc.		114,581
	741	Westinghouse Air Brake Technologies Corp.		125,400
	1,491	WW Grainger, Inc.		1,373,897
		Total Capital Goods		10,316,653
		Commercial & Professional Services — 3.7%
	37,097	ACCO Brands Corp.		188,824
	600	Barrett Business Services, Inc.		79,404
	5,572	Booz Allen Hamilton Holding Corp.		848,114
	287	Brady Corp. – Class A		19,593
	884	CACI International, Inc. – Class A *		375,240
	1,470	Cimpress PLC *		121,290
	9,600	Deluxe Corp.		218,208
	2,700	Heidrick & Struggles International, Inc.		92,556
	5,732	HNI Corp.		269,690
	3,227	ICF International, Inc.		460,654
	6,954	Leidos Holdings, Inc.		1,022,586
	2,864	Parsons Corp. *		218,094

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	2,161	Republic Services, Inc. – Class A		400,195
	12,800	Resources Connection, Inc.		146,560
	486	Science Applications International Corp.		65,440
	18,998	Steelcase, Inc. – Class A		259,513
	3,000	TrueBlue, Inc. *		32,400
	846	Veralto Corp.		83,399
		Total Commercial & Professional Services		4,901,760
		Consumer Discretionary Distribution & Retail — 6.9%
	4,900	1-800-Flowers.com, Inc. – Class A *		47,432
	907	Academy Sports & Outdoors, Inc.		52,325
	30,596	Amazon.com, Inc. *		5,398,358
	2,281	Best Buy Co., Inc.		193,475
	27,545	eBay, Inc.		1,493,490
	9,421	Gap, Inc.		272,832
	1,330	Group 1 Automotive, Inc.		413,603
	3,942	Haverty Furniture Cos., Inc.		111,992
	4,703	Shoe Carnival, Inc.		177,538
	892	Signet Jewelers Ltd.		97,665
	2,668	Williams-Sonoma, Inc.		782,311
		Total Consumer Discretionary Distribution & Retail		9,041,021
		Consumer Durables & Apparel — 5.3%
	1,258	Carter’s, Inc.		86,047
	998	Crocs, Inc. *		155,329
	1,364	Deckers Outdoor Corp. *		1,492,107
	4,134	DR Horton, Inc.		611,005
	3,898	Ethan Allen Interiors, Inc.		113,471
	9,645	Garmin Ltd.		1,580,333
	965	Johnson Outdoors, Inc. – Class A		35,116
	3,723	KB Home		262,844
	2,226	Lennar Corp. – Class A		356,939
	1,407	M/I Homes, Inc. *		175,762
	2,850	MasterCraft Boat Holdings, Inc. *		60,135
	1,171	Meritage Homes Corp.		206,506
	2,219	Movado Group, Inc.		58,804
	26	NVR, Inc. *		199,699
	748	PulteGroup, Inc.		87,755
	6,656	Taylor Morrison Home Corp. *		384,917
	3,867	Toll Brothers, Inc.		470,382
	12,502	Tri Pointe Homes, Inc. *		484,202
	8,356	Vera Bradley, Inc. *		68,185
	1,232	Whirlpool Corp.		114,613
		Total Consumer Durables & Apparel		7,004,151
		Consumer Services — 1.5%
	5,626	Adtalem Global Education, Inc. *		362,258
	252	Graham Holdings Co. – Class B		189,612
	1,220	Grand Canyon Education, Inc. *		173,801
	6,222	H&R Block, Inc.		308,860
	23,369	Perdoceo Education Corp.		525,803

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Consumer Services — continued
	5,671	Stride, Inc. *		389,371
		Total Consumer Services		1,949,705
		Consumer Staples Distribution & Retail — 1.8%
	34,382	Kroger Co.		1,800,585
	567	Target Corp.		88,543
	6,830	Walmart, Inc.		449,141
		Total Consumer Staples Distribution & Retail		2,338,269
		Energy — 5.4%
	1,850	Chesapeake Energy Corp.		168,221
	9,349	Chevron Corp.		1,517,343
	1,653	Chord Energy Corp.		306,483
	1,068	DT Midstream, Inc.		71,641
	8,596	EOG Resources, Inc.		1,070,632
	6,723	Exxon Mobil Corp.		788,339
	761	Gulfport Energy Corp. *		123,137
	82,285	Kinder Morgan, Inc.		1,603,735
	1,786	Phillips 66		253,808
	7,351	Valero Energy Corp.		1,155,136
		Total Energy		7,058,475
		Financial Services — 10.6%
	8,387	American Express Co.		2,012,880
	21,726	Bank of New York Mellon Corp.		1,295,087
	7,982	Capital One Financial Corp.		1,098,563
	2,760	Discover Financial Services		338,542
	5,404	Enova International, Inc. *		333,157
	2,307	Essent Group Ltd.		130,807
	3,472	Goldman Sachs Group, Inc.		1,585,037
	6,477	Jackson Financial, Inc. – Class A		492,317
	13,491	Janus Henderson Group PLC		451,948
	2,605	LendingTree, Inc. *		111,989
	60,798	MGIC Investment Corp.		1,276,758
	12,206	Nasdaq, Inc.		720,520
	4,060	NMI Holdings, Inc. – Class A *		134,711
	6,185	PROG Holdings, Inc.		233,731
	31,579	Radian Group, Inc.		986,528
	2,162	Raymond James Financial, Inc.		265,385
	8,571	State Street Corp.		647,882
	23,412	Synchrony Financial		1,025,445
	7,214	T Rowe Price Group, Inc.		850,026
		Total Financial Services		13,991,313
		Food, Beverage & Tobacco — 0.0%
	892	Universal Corp.		42,780
		Health Care Equipment & Services — 1.5%
	3,860	Cigna Group		1,330,233
	750	Elevance Health, Inc.		403,860
	218	Humana, Inc.		78,070

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	2,395	Medtronic PLC		194,881
		Total Health Care Equipment & Services		2,007,044
		Insurance — 3.3%
	507	Allstate Corp.		84,933
	10,009	Arch Capital Group Ltd. *		1,027,224
	367	Assurant, Inc.		63,663
	105	Brown & Brown, Inc.		9,398
	984	Chubb Ltd.		266,487
	5,331	Fidelity National Financial, Inc.		268,469
	19,657	Hartford Financial Services Group, Inc.		2,033,517
	3,054	Stewart Information Services Corp.		193,349
	776	Travelers Cos., Inc.		167,383
	3,859	Unum Group		207,846
		Total Insurance		4,322,269
		Materials — 0.7%
	423	NewMarket Corp.		226,335
	654	Nucor Corp.		110,428
	5,006	Ryerson Holding Corp.		118,892
	3,097	Steel Dynamics, Inc.		414,595
	1,248	Warrior Met Coal, Inc.		85,401
		Total Materials		955,651
		Media & Entertainment — 8.9%
	20,562	Alphabet, Inc. – Class A *		3,546,945
	24,421	Alphabet, Inc. – Class C *		4,248,277
	8,331	Meta Platforms, Inc. – Class A		3,889,161
		Total Media & Entertainment		11,684,383
		Pharmaceuticals, Biotechnology & Life Sciences — 5.5%
	18,019	Bristol-Myers Squibb Co.		740,401
	10,119	Johnson & Johnson		1,484,154
	21,765	Merck & Co., Inc.		2,732,378
	73,537	Pfizer, Inc.		2,107,570
	106	Regeneron Pharmaceuticals, Inc. *		103,897
		Total Pharmaceuticals, Biotechnology & Life Sciences		7,168,400
		Semiconductors & Semiconductor Equipment — 13.6%
	13,952	Applied Materials, Inc.		3,000,796
	95,976	Intel Corp.		2,960,860
	2,787	KLA Corp.		2,116,810
	582	Lam Research Corp.		542,680
	4,147	NVIDIA Corp.		4,546,481
	2,663	NXP Semiconductors NV		724,602
	16,827	QUALCOMM, Inc.		3,433,549
	5,899	Skyworks Solutions, Inc.		546,601
		Total Semiconductors & Semiconductor Equipment		17,872,379

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Software & Services — 7.3%
	1,896	ASGN, Inc. *		178,053
	4,511	Cognizant Technology Solutions Corp. – Class A		298,403
	16,586	International Business Machines Corp.		2,767,374
	15,085	Microsoft Corp.		6,262,236
	146	Synopsys, Inc. *		81,877
		Total Software & Services		9,587,943
		Technology Hardware & Equipment — 9.1%
	37,202	Apple, Inc.		7,152,084
	60,819	Cisco Systems, Inc.		2,828,083
	42,703	HP, Inc.		1,558,660
	923	NetApp, Inc.		111,157
	1,508	TE Connectivity Ltd.		225,748
	2,216	Vontier Corp.		88,596
		Total Technology Hardware & Equipment		11,964,328
		Transportation — 0.9%
	25,760	CSX Corp.		869,400
	1,613	Union Pacific Corp.		375,539
		Total Transportation		1,244,939
		TOTAL COMMON STOCKS (COST $110,503,069)		130,814,216
		DEBT OBLIGATIONS — 0.2%
		U.S. Government — 0.2%
	240,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26		240,112
	12,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		12,013
		Total U.S. Government		252,125
		TOTAL DEBT OBLIGATIONS (COST $252,079)		252,125

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	200,273	GMO U.S. Treasury Fund		1,001,361
		TOTAL MUTUAL FUNDS (COST $1,001,361)		1,001,361
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	591,647	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b)		591,647
		TOTAL SHORT-TERM INVESTMENTS (COST $591,647)		591,647
		TOTAL INVESTMENTS — 100.8% (Cost $112,348,156)		132,659,349
		Other Assets and Liabilities (net) — (0.8)%		(1,074,288	)
		TOTAL NET ASSETS — 100.0%		$131,585,061

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.0%
		Automobiles & Components — 2.4%
	94,066	BorgWarner, Inc.		3,354,393
	409,666	Ford Motor Co.		4,969,249
	51,926	General Motors Co.		2,336,151
	17,520	Lear Corp.		2,196,132
	1,400	Winnebago Industries, Inc.		86,870
		Total Automobiles & Components		12,942,795
		Banks — 11.7%
	478,520	Bank of America Corp.		19,136,015
	161,319	Citigroup, Inc.		10,051,787
	120,901	JPMorgan Chase & Co.		24,498,170
	28,429	M&T Bank Corp.		4,309,836
	47,955	U.S. Bancorp		1,944,575
	70,082	Wells Fargo & Co.		4,199,313
		Total Banks		64,139,696
		Capital Goods — 2.8%
	24,518	AGCO Corp.		2,631,517
	15,415	Allison Transmission Holdings, Inc.		1,168,611
	5,667	Atkore, Inc.		862,234
	2,232	Boise Cascade Co.		306,431
	1,811	Builders FirstSource, Inc. *		291,191
	18,860	Cummins, Inc.		5,313,428
	3,113	Encore Wire Corp.		898,816
	13,950	Mueller Industries, Inc.		821,795
	8,696	Owens Corning		1,574,585
	13,140	UFP Industries, Inc.		1,569,967
		Total Capital Goods		15,438,575
		Commercial & Professional Services — 0.2%
	2,156	HNI Corp.		101,440
	13,884	ManpowerGroup, Inc.		1,036,024
		Total Commercial & Professional Services		1,137,464
		Consumer Discretionary Distribution & Retail — 3.0%
	23,430	Academy Sports & Outdoors, Inc.		1,351,677
	10,181	AutoNation, Inc. *		1,733,315
	46,453	Best Buy Co., Inc.		3,940,144
	89,279	eBay, Inc.		4,840,707
	19,751	Foot Locker, Inc.		547,695
	4,049	Group 1 Automotive, Inc.		1,259,158
	35,793	Kohl’s Corp.		801,405
	32,141	Macy’s, Inc.		626,107
	12,919	Signet Jewelers Ltd.		1,414,501
		Total Consumer Discretionary Distribution & Retail		16,514,709

Shares		Description	Value ($)
		Consumer Durables & Apparel — 2.1%
	9,544	Brunswick Corp.		787,666
	8,423	Carter’s, Inc.		576,133
	21,039	Crocs, Inc. *		3,274,510
	2,312	Garmin Ltd.		378,821
	8,526	La-Z-Boy, Inc.		319,896
	15,206	Polaris, Inc.		1,271,222
	7,094	PulteGroup, Inc.		832,268
	8,768	Skechers U.S.A., Inc. – Class A *		626,211
	22,268	Tapestry, Inc.		968,435
	89,168	VF Corp.		1,184,151
	14,940	Whirlpool Corp.		1,389,868
		Total Consumer Durables & Apparel		11,609,181
		Consumer Services — 0.6%
	4,417	Adtalem Global Education, Inc. *		284,411
	490	Graham Holdings Co. – Class B		368,691
	50,140	H&R Block, Inc.		2,488,949
		Total Consumer Services		3,142,051
		Consumer Staples Distribution & Retail — 1.4%
	93,346	Kroger Co.		4,888,530
	158,038	Walgreens Boots Alliance, Inc.		2,563,376
		Total Consumer Staples Distribution & Retail		7,451,906
		Energy — 8.0%
	100,527	Chevron Corp.		16,315,532
	36,363	EOG Resources, Inc.		4,529,011
	139,480	Exxon Mobil Corp.		16,355,425
	36,961	Kinder Morgan, Inc.		720,370
	6,328	Ovintiv, Inc.		326,968
	36,871	Valero Energy Corp.		5,793,909
		Total Energy		44,041,215
		Financial Services — 13.1%
	9,068	Affiliated Managers Group, Inc.		1,474,457
	66,818	Ally Financial, Inc.		2,603,897
	25,549	American Express Co.		6,131,760
	91,436	Bank of New York Mellon Corp.		5,450,500
	41,022	Capital One Financial Corp.		5,645,858
	37,589	Discover Financial Services		4,610,667
	5,743	Essent Group Ltd.		325,628
	18,095	Federated Hermes, Inc.		600,211
	27,266	Franklin Resources, Inc.		643,478
	25,621	Goldman Sachs Group, Inc.		11,696,499
	86,717	Invesco Ltd.		1,362,324
	18,880	Jackson Financial, Inc. – Class A		1,435,069
	25,907	Janus Henderson Group PLC		867,885
	153,164	MGIC Investment Corp.		3,216,444
	27,614	Morgan Stanley		2,701,754
	10,944	OneMain Holdings, Inc.		537,569

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Financial Services — continued
	91,941	PayPal Holdings, Inc. *		5,791,364
	88,522	Radian Group, Inc.		2,765,427
	19,314	SLM Corp.		414,478
	53,376	State Street Corp.		4,034,692
	86,785	Synchrony Financial		3,801,183
	28,669	T Rowe Price Group, Inc.		3,378,068
	172,699	Western Union Co.		2,210,547
		Total Financial Services		71,699,759
		Food, Beverage & Tobacco — 2.8%
	77,298	Archer-Daniels-Midland Co.		4,826,487
	20,472	Bunge Global SA		2,202,583
	57,936	General Mills, Inc.		3,983,100
	117,690	Kraft Heinz Co.		4,162,695
	5,141	Tyson Foods, Inc. – Class A		294,322
		Total Food, Beverage & Tobacco		15,469,187
		Health Care Equipment & Services — 8.8%
	63,461	Centene Corp. *		4,543,173
	25,479	Cigna Group		8,780,573
	114,367	CVS Health Corp.		6,816,273
	17,087	Elevance Health, Inc.		9,201,008
	29,287	GE HealthCare Technologies, Inc.		2,284,386
	15,023	Humana, Inc.		5,380,037
	66,013	Medtronic PLC		5,371,478
	17,060	Premier, Inc. – Class A		322,775
	10,654	UnitedHealth Group, Inc.		5,277,672
		Total Health Care Equipment & Services		47,977,375
		Insurance — 2.6%
	35,942	Aflac, Inc.		3,230,107
	24,195	Arch Capital Group Ltd. *		2,483,133
	17,260	Fidelity National Financial, Inc.		869,214
	45,611	Hartford Financial Services Group, Inc.		4,718,458
	49,560	Unum Group		2,669,301
		Total Insurance		13,970,213
		Materials — 3.0%
	3,516	Berry Global Group, Inc.		210,538
	23,967	Commercial Metals Co.		1,349,821
	35,697	International Paper Co.		1,609,578
	42,228	LyondellBasell Industries NV – Class A		4,198,308
	37,927	Mosaic Co.		1,173,082
	22,743	Nucor Corp.		3,840,155
	30,171	Steel Dynamics, Inc.		4,038,992
		Total Materials		16,420,474
		Media & Entertainment — 11.3%
	165,687	Alphabet, Inc. – Class A *		28,581,007
	14,884	Alphabet, Inc. – Class C *		2,589,221
	295,958	Comcast Corp. – Class A		11,847,199

Shares		Description	Value ($)
		Media & Entertainment — continued
	46,972	Fox Corp. – Class A		1,617,246
	14,533	Fox Corp. – Class B		464,184
	36,469	Meta Platforms, Inc. – Class A		17,024,823
		Total Media & Entertainment		62,123,680
		Pharmaceuticals, Biotechnology & Life Sciences — 11.8%
	169,998	Bristol-Myers Squibb Co.		6,985,218
	78,585	Gilead Sciences, Inc.		5,050,658
	14,982	Incyte Corp. *		865,810
	117,261	Johnson & Johnson		17,198,671
	97,815	Merck & Co., Inc.		12,279,695
	412,807	Pfizer, Inc.		11,831,049
	6,988	Regeneron Pharmaceuticals, Inc. *		6,849,358
	4,443	United Therapeutics Corp. *		1,222,402
	217,609	Viatris, Inc.		2,306,655
		Total Pharmaceuticals, Biotechnology & Life Sciences		64,589,516
		Semiconductors & Semiconductor Equipment — 3.4%
	232,405	Intel Corp.		7,169,694
	48,103	QUALCOMM, Inc.		9,815,417
	16,122	Skyworks Solutions, Inc.		1,493,865
		Total Semiconductors & Semiconductor Equipment		18,478,976
		Software & Services — 2.8%
	62,574	Cognizant Technology Solutions Corp. – Class A		4,139,270
	65,470	International Business Machines Corp.		10,923,670
	8,812	Zoom Video Communications, Inc. – Class A *		540,528
		Total Software & Services		15,603,468
		Technology Hardware & Equipment — 4.9%
	24,803	Arrow Electronics, Inc. *		3,256,882
	14,306	Avnet, Inc.		781,107
	268,110	Cisco Systems, Inc.		12,467,115
	5,240	Crane NXT Co.		331,273
	235,338	Hewlett Packard Enterprise Co.		4,153,716
	155,412	HP, Inc.		5,672,538
		Total Technology Hardware & Equipment		26,662,631
		Telecommunication Services — 2.3%
	42,523	AT&T, Inc.		774,769
	289,250	Verizon Communications, Inc.		11,902,638
		Total Telecommunication Services		12,677,407

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Transportation — 0.0%
	1,868	Matson, Inc.		239,478
		TOTAL COMMON STOCKS (COST $496,892,343)		542,329,756
		MUTUAL FUNDS — 1.0%
		Affiliated Issuers — 1.0%
	1,056,197	GMO U.S. Treasury Fund		5,280,987
		TOTAL MUTUAL FUNDS (COST $5,280,987)		5,280,987
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	84,321	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		84,321
		TOTAL SHORT-TERM INVESTMENTS (COST $84,321)		84,321
		TOTAL INVESTMENTS — 100.0% (Cost $502,257,651)		547,695,064
		Other Assets and Liabilities (net) — (0.0)%		(198,921	)
		TOTAL NET ASSETS — 100.0%		$547,496,143

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

 

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.5%
		Automobiles & Components — 0.7%
	4,824	Dana, Inc.		67,825
	1,588	Patrick Industries, Inc.		181,985
	603	Winnebago Industries, Inc.		37,416
		Total Automobiles & Components		287,226
		Banks — 9.7%
	2,706	1st Source Corp.		139,142
	4,458	Amalgamated Financial Corp.		112,698
	1,366	Arrow Financial Corp.		34,300
	19,136	Associated Banc-Corp.		409,893
	8,098	BankUnited, Inc.		232,332
	1,866	Banner Corp.		87,385
	1,196	Berkshire Hills Bancorp, Inc.		26,587
	600	Capital City Bank Group, Inc.		16,296
	1,181	Central Pacific Financial Corp.		23,951
	371	City Holding Co.		37,924
	470	Civista Bancshares, Inc.		6,735
	2,452	Community Trust Bancorp, Inc.		103,254
	900	Community West Bancshares		15,633
	3,740	Customers Bancorp, Inc. *		169,422
	2,387	Eagle Bancorp, Inc.		43,038
	4,598	East West Bancorp, Inc.		341,126
	1,228	Enterprise Financial Services Corp.		47,511
	915	FB Financial Corp.		33,855
	1,004	Financial Institutions, Inc.		17,680
	11,375	First BanCorp		201,679
	984	First Busey Corp.		22,248
	1,441	First Community Bankshares, Inc.		50,060
	691	First Financial Bancorp		15,409
	2,252	First Financial Corp.		83,414
	3,515	First Horizon Corp.		55,678
	1,097	First Merchants Corp.		36,256
	400	Great Southern Bancorp, Inc.		20,996
	8,589	Hanmi Financial Corp.		135,363
	956	Heritage Financial Corp.		17,332
	5,053	Hope Bancorp, Inc.		53,208
	3,074	Independent Bank Corp.		77,034
	1,903	International Bancshares Corp.		108,147
	2,896	Midland States Bancorp, Inc.		65,797
	1,200	MidWestOne Financial Group, Inc.		25,692
	449	National Bank Holdings Corp. – Class A		16,375
	2,032	OceanFirst Financial Corp.		30,582
	4,260	OFG Bancorp		158,301
	693	Peoples Bancorp, Inc.		20,201
	3,269	Popular, Inc.		290,974
	468	Preferred Bank		34,969
	882	Premier Financial Corp.		17,384
	2,172	Provident Financial Services, Inc.		31,277
	407	QCR Holdings, Inc.		23,065
	2,512	Renasant Corp.		75,661

Shares		Description	Value ($)
		Banks — continued
	613	Republic Bancorp, Inc. – Class A		31,747
	1,096	Sandy Spring Bancorp, Inc.		25,690
	1,715	Simmons First National Corp. – Class A		29,807
	738	Southside Bancshares, Inc.		19,786
	1,431	Trustmark Corp.		41,714
	1,839	Veritex Holdings, Inc.		37,516
	2	Westamerica BanCorp		98
		Total Banks		3,752,222
		Capital Goods — 11.8%
	138	Acuity Brands, Inc.		35,826
	979	AGCO Corp.		105,076
	8,833	Allison Transmission Holdings, Inc.		669,630
	1,777	American Woodmark Corp. *		153,017
	5,100	Apogee Enterprises, Inc.		331,347
	2,714	AZZ, Inc.		227,650
	1,272	BlueLinx Holdings, Inc. *		130,876
	1,677	Boise Cascade Co.		230,235
	350	Columbus McKinnon Corp.		13,685
	384	DXP Enterprises, Inc. *		19,077
	16,014	Gates Industrial Corp. PLC *		278,964
	1,187	Gibraltar Industries, Inc. *		89,571
	360	Global Industrial Co.		12,460
	4,230	GMS, Inc. *		397,451
	1,854	Greenbrier Cos., Inc.		102,434
	291	Griffon Corp.		19,654
	1,159	Hyster-Yale Materials Handling, Inc.		84,132
	9,592	JELD-WEN Holding, Inc. *		148,772
	4,714	Kennametal, Inc.		121,385
	14,812	Masterbrand, Inc. *		247,509
	1,621	Matrix Service Co. *		19,582
	1,340	Miller Industries, Inc.		81,472
	15,479	MRC Global, Inc. *		205,716
	1,630	Oshkosh Corp.		185,380
	1,152	Park-Ohio Holdings Corp.		30,125
	539	Preformed Line Products Co.		72,409
	1,929	Primoris Services Corp.		105,632
	2,283	Quanex Building Products Corp.		75,248
	3,745	Resideo Technologies, Inc. *		80,892
	300	Rush Enterprises, Inc. – Class B		12,681
	2,204	Tennant Co.		226,263
	282	UFP Industries, Inc.		33,693
	1,781	Wabash National Corp.		40,268
		Total Capital Goods		4,588,112
		Commercial & Professional Services — 7.1%
	1,038	ABM Industries, Inc.		49,066
	33,149	ACCO Brands Corp.		168,729
	800	Barrett Business Services, Inc.		105,872
	6,053	Brady Corp. – Class A		413,238
	3,228	BrightView Holdings, Inc. *		44,579
	271	Cimpress PLC *		22,360

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	10,995	Deluxe Corp.		249,916
	20,700	GEO Group, Inc. *		300,978
	4,971	Heidrick & Struggles International, Inc.		170,406
	5,123	HNI Corp.		241,037
	4,785	Interface, Inc.		77,086
	7,365	Kelly Services, Inc. – Class A		160,115
	2,166	ManpowerGroup, Inc.		161,627
	4,656	MillerKnoll, Inc.		128,413
	429	Parsons Corp. *		32,668
	4,979	Pitney Bowes, Inc.		26,986
	10,690	Resources Connection, Inc.		122,401
	16,536	Steelcase, Inc. – Class A		225,882
	5,005	TrueBlue, Inc. *		54,054
		Total Commercial & Professional Services		2,755,413
		Consumer Discretionary Distribution & Retail — 6.5%
	1,801	1-800-Flowers.com, Inc. – Class A *		17,434
	6,558	Aaron’s Co., Inc.		55,612
	1,356	Buckle, Inc.		52,260
	4,961	Caleres, Inc.		172,047
	3,090	Cato Corp. – Class A		18,540
	12,886	Container Store Group, Inc. *		8,636
	3,407	Foot Locker, Inc.		94,476
	10,052	Gap, Inc.		291,106
	5,672	Genesco, Inc. *		161,652
	1,370	Group 1 Automotive, Inc.		426,043
	3,001	Guess?, Inc.		69,833
	4,807	Haverty Furniture Cos., Inc.		136,567
	876	Hibbett, Inc.		75,844
	4,684	Kohl’s Corp.		104,875
	1,692	Lands’ End, Inc. *		24,179
	13,624	Macy’s, Inc.		265,395
	9,410	Sally Beauty Holdings, Inc. *		114,614
	9,848	Shoe Carnival, Inc.		371,762
	2,073	Victoria’s Secret & Co. *		47,244
	494	Weyco Group, Inc.		15,101
		Total Consumer Discretionary Distribution & Retail		2,523,220
		Consumer Durables & Apparel — 8.0%
	1,136	Bassett Furniture Industries, Inc.		17,051
	1,107	Beazer Homes USA, Inc. *		31,793
	1,646	Carter’s, Inc.		112,586
	8,672	Ethan Allen Interiors, Inc.		252,442
	10,856	G-III Apparel Group Ltd. *		326,331
	1,368	Hooker Furnishings Corp.		23,776
	1,124	Johnson Outdoors, Inc. – Class A		40,902
	3,378	KB Home		238,487
	10,449	La-Z-Boy, Inc.		392,047
	2,283	M/I Homes, Inc. *		285,192

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	4,561	Movado Group, Inc.		120,867
	2,574	Oxford Industries, Inc.		284,916
	571	Polaris, Inc.		47,736
	2,109	Taylor Morrison Home Corp. *		121,964
	1,136	Toll Brothers, Inc.		138,183
	7,208	Tri Pointe Homes, Inc. *		279,166
	2,400	Universal Electronics, Inc. *		27,408
	11,651	Vera Bradley, Inc. *		95,072
	1,300	VOXX International Corp. *		4,797
	2,869	Whirlpool Corp.		266,903
		Total Consumer Durables & Apparel		3,107,619
		Consumer Services — 2.3%
	8,052	Adtalem Global Education, Inc. *		518,468
	16,861	Perdoceo Education Corp.		379,373
		Total Consumer Services		897,841
		Consumer Staples Distribution & Retail — 0.9%
	1,408	Ingles Markets, Inc. – Class A		102,981
	5,461	SpartanNash Co.		107,309
	1,140	Village Super Market, Inc. – Class A		34,656
	1,444	Weis Markets, Inc.		94,654
		Total Consumer Staples Distribution & Retail		339,600
		Energy — 5.9%
	2,941	Chord Energy Corp.		545,291
	2,138	Crescent Energy Co. – Class A		26,939
	4,870	FutureFuel Corp.		20,844
	3,275	Granite Ridge Resources, Inc.		21,451
	1,035	Gulfport Energy Corp. *		167,473
	2,124	Kodiak Gas Services, Inc.		58,516
	9,332	Oil States International, Inc. *		41,714
	11,549	PBF Energy, Inc. – Class A		535,065
	1,603	SandRidge Energy, Inc.		22,378
	3,513	Select Energy Services, Inc.		38,397
	3,042	SilverBow Resources, Inc. *		119,246
	786	SM Energy Co.		39,638
	5,776	Solaris Oilfield Infrastructure, Inc. – Class A		52,908
	2,874	Vitesse Energy, Inc.		73,345
	20,232	World Kinect Corp.		532,911
		Total Energy		2,296,116
		Equity Real Estate Investment Trusts (REITs) — 4.8%
	647	Acadia Realty Trust – (REIT)		11,154
	4,094	American Assets Trust, Inc. – (REIT)		89,045
	5,273	Brandywine Realty Trust – (REIT)		24,309
	2,307	Chatham Lodging Trust – (REIT)		19,517
	50,617	Diversified Healthcare Trust – (REIT)		122,999

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Equity Real Estate Investment Trusts (REITs) — continued
	19,420	Empire State Realty Trust, Inc. – Class A (REIT)		185,073
	2,932	EPR Properties – (REIT)		120,329
	5,121	Hudson Pacific Properties, Inc. – (REIT)		25,144
	13,716	Industrial Logistics Properties Trust – (REIT)		51,709
	339	Innovative Industrial Properties, Inc. – (REIT)		36,537
	6,028	Kilroy Realty Corp. – (REIT)		202,119
	644	LTC Properties, Inc. – (REIT)		22,154
	25,713	Park Hotels & Resorts, Inc. – (REIT)		407,808
	27,400	Piedmont Office Realty Trust, Inc. – Class A (REIT)		199,746
	1,150	Safehold, Inc. – (REIT)		22,172
	23,300	Service Properties Trust – (REIT)		125,354
	5,027	Summit Hotel Properties, Inc. – (REIT)		30,765
	6,647	Whitestone – (REIT)		86,677
	5,706	Xenia Hotels & Resorts, Inc. – (REIT)		82,680
		Total Equity Real Estate Investment Trusts (REITs)		1,865,291
		Financial Services — 12.6%
	5,397	Bread Financial Holdings, Inc.		225,379
	1,220	Brightsphere Investment Group, Inc.		27,047
	9	Diamond Hill Investment Group, Inc.		1,350
	1,249	Enact Holdings, Inc.		38,357
	2,103	Encore Capital Group, Inc. *		93,037
	9,509	Enova International, Inc. *		586,230
	1,450	Essent Group Ltd.		82,215
	1,008	Green Dot Corp. – Class A *		9,989
	3,040	Invesco Ltd.		47,758
	10,686	Jackson Financial, Inc. – Class A		812,243
	4,851	Janus Henderson Group PLC		162,508
	4,642	LendingTree, Inc. *		199,560
	1,114	Merchants Bancorp		44,616
	30,235	MGIC Investment Corp.		634,935
	9,349	NMI Holdings, Inc. – Class A *		310,200
	1,054	Oppenheimer Holdings, Inc. – Class A		48,147
	1,608	PennyMac Financial Services, Inc.		145,765
	6,962	PROG Holdings, Inc.		263,094
	22,460	Radian Group, Inc.		701,650
	1,499	Regional Management Corp.		41,223
	9,705	SLM Corp.		208,269
	3,499	Victory Capital Holdings, Inc. – Class A		182,053
	2,367	Waterstone Financial, Inc.		28,641
	914	Westwood Holdings Group, Inc.		11,096
		Total Financial Services		4,905,362
		Food, Beverage & Tobacco — 1.0%
	1,811	Seneca Foods Corp. – Class A *		107,066
	450	Turning Point Brands, Inc.		14,765

Shares		Description	Value ($)
		Food, Beverage & Tobacco — continued
	5,353	Universal Corp.		256,730
		Total Food, Beverage & Tobacco		378,561
		Health Care Equipment & Services — 2.0%
	2,533	AMN Healthcare Services, Inc. *		141,696
	1,104	National HealthCare Corp.		116,748
	2,077	Owens & Minor, Inc. *		36,202
	4,585	Patterson Cos., Inc.		112,745
	16,216	Premier, Inc. – Class A		306,807
	1,932	Varex Imaging Corp. *		29,849
	2,438	Zimvie, Inc. *		40,593
		Total Health Care Equipment & Services		784,640
		Household & Personal Products — 0.2%
	5,631	Nu Skin Enterprises, Inc. – Class A		75,174
		Insurance — 5.8%
	5,654	CNO Financial Group, Inc.		162,213
	2,656	Employers Holdings, Inc.		112,030
	2,190	First American Financial Corp.		121,720
	10,024	Genworth Financial, Inc. – Class A *		63,051
	251	GoHealth, Inc. – Class A *		2,628
	715	Horace Mann Educators Corp.		24,432
	17,702	Old Republic International Corp.		562,570
	8,054	Stewart Information Services Corp.		509,899
	2,723	Universal Insurance Holdings, Inc.		53,670
	12,070	Unum Group		650,090
		Total Insurance		2,262,303
		Materials — 5.0%
	1,514	AdvanSix, Inc.		35,882
	1,340	Clearwater Paper Corp. *		71,208
	10,652	Commercial Metals Co.		599,921
	410	Hawkins, Inc.		35,801
	3,519	Koppers Holdings, Inc.		155,997
	2,663	Minerals Technologies, Inc.		231,015
	172	NewMarket Corp.		92,032
	1,081	Olympic Steel, Inc.		56,363
	2,981	Radius Recycling, Inc.		51,005
	8,245	Ryerson Holding Corp.		195,819
	2,968	Sylvamo Corp.		211,678
	943	TriMas Corp.		25,103
	2,545	Warrior Met Coal, Inc.		174,154
		Total Materials		1,935,978
		Media & Entertainment — 0.9%
	7,147	AMC Networks, Inc. – Class A *		123,929
	1,914	Cargurus, Inc. *		46,338
	59	Cars.com, Inc. *		1,194
	240	Lee Enterprises, Inc. *		3,048
	2,761	Shutterstock, Inc.		112,179

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Media & Entertainment — continued
	10,935	Taboola.com Ltd. *		43,849
		Total Media & Entertainment		330,537
		Pharmaceuticals, Biotechnology & Life Sciences — 2.1%
	5,480	Exelixis, Inc. *		118,861
	25,028	Organon & Co.		533,847
	700	Phibro Animal Health Corp. – Class A		12,341
	3,888	Supernus Pharmaceuticals, Inc. *		105,443
	6,538	Vanda Pharmaceuticals, Inc. *		33,409
		Total Pharmaceuticals, Biotechnology & Life Sciences		803,901
		Real Estate Management & Development — 0.3%
	12,743	Douglas Elliman, Inc. *		14,527
	1,122	Forestar Group, Inc. *		38,159
	4,025	Newmark Group, Inc. – Class A		41,900
		Total Real Estate Management & Development		94,586
		Semiconductors & Semiconductor Equipment — 5.2%
	945	ACM Research, Inc. – Class A *		20,412
	4,312	Amkor Technology, Inc.		140,528
	5,917	Cirrus Logic, Inc. *		678,680
	4,389	Cohu, Inc. *		141,501
	1,623	Diodes, Inc. *		120,313
	5,212	Kulicke & Soffa Industries, Inc.		238,032
	2,216	MaxLinear, Inc. *		39,378
	8,687	Photronics, Inc. *		237,590
	5,464	SMART Global Holdings, Inc. *		112,449
	7,405	Veeco Instruments, Inc. *		301,013
		Total Semiconductors & Semiconductor Equipment		2,029,896
		Software & Services — 0.2%
	600	ASGN, Inc. *		56,346
	2,572	Unisys Corp. *		11,034
		Total Software & Services		67,380
		Technology Hardware & Equipment — 4.3%
	578	Arrow Electronics, Inc. *		75,897
	12,313	Avnet, Inc.		672,290
	5,241	Benchmark Electronics, Inc.		225,730
	404	ePlus, Inc. *		30,235
	2,139	Kimball Electronics, Inc. *		49,026
	1,837	ScanSource, Inc. *		87,129
	1,322	TTM Technologies, Inc. *		24,589
	3,088	Vontier Corp.		123,458
	26,725	Xerox Holdings Corp.		375,754
		Total Technology Hardware & Equipment		1,664,108

Shares		Description	Value ($)
		Telecommunication Services — 0.2%
	5,621	Spok Holdings, Inc.		85,495
		Transportation — 0.0%
	153	ArcBest Corp.		16,145
		TOTAL COMMON STOCKS (COST $34,913,378)		37,846,726
		MUTUAL FUNDS — 2.6%
		Affiliated Issuers — 2.6%
	204,766	GMO U.S. Treasury Fund		1,023,828
		TOTAL MUTUAL FUNDS (COST $1,023,828)		1,023,828
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	231,261	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		231,261
		TOTAL SHORT-TERM INVESTMENTS (COST $231,261)		231,261
		TOTAL INVESTMENTS — 100.7% (Cost $36,168,467)		39,101,815
		Other Assets and Liabilities (net) — (0.7)%		(265,227	)
		TOTAL NET ASSETS — 100.0%		$38,836,588

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

Portfolio Abbreviations:

REIT - Real Estate Investment Trust

Organization

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, International Opportunistic Value Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resource Transition Fund, Resources Fund, Small Cap Quality Fund, U.S. Equity Fund, U.S. Opportunistic Value Fund and U.S. Small Cap Value Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain equity securities valued off the last traded price with a discount for liquidity; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2024:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,273,749	$	—	$	—	$	2,273,749
Australia		—		1,796,250		—		1,796,250
Brazil		—		4,350,452		—		4,350,452
Canada		63,989,341		—		104,837		64,094,178
China		—		6,521,006		—		6,521,006
Denmark		—		11,635,857		—		11,635,857
Finland		—		15,802,055		—		15,802,055
France		—		104,568,337		—		104,568,337
Germany		—		28,455,928		—		28,455,928
Ireland		—		4,741,755		—		4,741,755
Italy		—		9,557,730		—		9,557,730
Japan		—		34,176,310		—		34,176,310

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Mexico	$	17,053,761	$	—	$	—		$	17,053,761
Netherlands		—		7,384,193		—			7,384,193
Norway		—		15,934,086		—			15,934,086
Russia		—		—		192,416			192,416
South Korea		—		53,007,373		—			53,007,373
Spain		—		24,509,689		—			24,509,689
Switzerland		—		2,165,337		—			2,165,337
Ukraine		—		622,962		—			622,962
United Kingdom		4,149,200		2,049,720		—			6,198,920
United States		419,532,409		1,283,115		—			420,815,524
TOTAL COMMON STOCKS		506,998,460		328,562,155		297,253			835,857,868
Preferred Stocks
Chile		16,251,787		—		—			16,251,787
TOTAL PREFERRED STOCKS		16,251,787		—		—			16,251,787
Rights/Warrants
United Kingdom		131,816		—		—			131,816
TOTAL RIGHTS/WARRANTS		131,816		—		—			131,816
Mutual Funds
United States		3,274,193		—		—			3,274,193
TOTAL MUTUAL FUNDS		3,274,193		—		—			3,274,193
Total Investments		526,656,256		328,562,155		297,253			855,515,664
Total	$	526,656,256	$	328,562,155	$	297,253		$	855,515,664
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	1,184,482	$	6,126,016	$	—		$	7,310,498
Chile		—		141,667		—			141,667
Colombia		19,342		—		—			19,342
Czech Republic		—		259,235		—			259,235
Egypt		—		711,685		—			711,685
Greece		—		110,316		—			110,316
Hungary		—		4,170,351		—			4,170,351
India		133,330		18,905,127		—			19,038,457
Indonesia		—		6,553,271		—			6,553,271
Malaysia		—		12,291		—			12,291
Mexico		7,672,585		—		0	§		7,672,585
Pakistan		—		903,480		—			903,480
Philippines		—		18,328		—			18,328
Poland		—		1,940,182		—			1,940,182
Qatar		—		664,052		—			664,052
Russia		—		—		474,765			474,765
South Africa		—		7,681,630		—			7,681,630
South Korea		—		7,904,167		—			7,904,167
Taiwan		3,295,922		27,751,493		—			31,047,415
Thailand		—		2,277,447		—			2,277,447
United Arab Emirates		—		54,807		—			54,807
Vietnam		—		2,627,156		—			2,627,156
TOTAL COMMON STOCKS		12,305,661		88,812,701		474,765			101,593,127
Preferred Stocks
Brazil		—		7,500,530		—			7,500,530
Colombia		1,271,135		—		—			1,271,135

Description	Level 1		Level 2		Level 3			Total
Emerging Markets ex-China Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks (continued)
Russia	$	—	$	—	$	35,102		$	35,102
TOTAL PREFERRED STOCKS		1,271,135		7,500,530		35,102			8,806,767
Rights/Warrants
Vietnam		—		—		52,301			52,301
TOTAL RIGHTS/WARRANTS		—		—		52,301			52,301
Mutual Funds
United States		3,104,517		—		—			3,104,517
TOTAL MUTUAL FUNDS		3,104,517		—		—			3,104,517
Short-Term Investments		10,337		—		—			10,337
Total Investments		16,691,650		96,313,231		562,168			113,567,049
Total	$	16,691,650	$	96,313,231	$	562,168		$	113,567,049
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	6,592,910	$	15,962,598	$	—		$	22,555,508
Chile		—		233,268		—			233,268
China		9,691,585		86,866,368		1			96,557,954
Colombia		104,208		—		—			104,208
Czech Republic		—		1,611,317		—			1,611,317
Egypt		—		1,389,997		—			1,389,997
Greece		—		271,740		—			271,740
Hungary		—		14,487,762		—			14,487,762
India		—		42,241,173		—			42,241,173
Indonesia		—		12,620,488		—			12,620,488
Kuwait		—		301,218		—			301,218
Malaysia		—		168,574		—			168,574
Mexico		22,583,216		—		0	§		22,583,216
Pakistan		—		3,755,078		—			3,755,078
Philippines		—		270,894		—			270,894
Poland		—		5,222,522		—			5,222,522
Qatar		—		2,233,873		—			2,233,873
Russia		—		—		2,266,374			2,266,374
South Africa		—		26,275,347		—			26,275,347
South Korea		—		10,256,371		—			10,256,371
Sri Lanka		—		—		310,125			310,125
Taiwan		—		85,850,195		—			85,850,195
Thailand		—		9,112,560		—			9,112,560
Vietnam		—		8,564,481		—			8,564,481
TOTAL COMMON STOCKS		38,971,919		327,695,824		2,576,500			369,244,243
Preferred Stocks
Brazil		—		13,616,877		—			13,616,877
Colombia		4,771,817		—		—			4,771,817
Russia		—		—		613,650			613,650
South Korea		—		1,993,459		—			1,993,459
TOTAL PREFERRED STOCKS		4,771,817		15,610,336		613,650			20,995,803
Rights/Warrants
Vietnam		—		—		237,002			237,002
TOTAL RIGHTS/WARRANTS		—		—		237,002			237,002

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	300,327	$	—	$	—	$	300,327
TOTAL DEBT OBLIGATIONS		300,327		—		—		300,327
Mutual Funds
United States		5,029,518		—		—		5,029,518
TOTAL MUTUAL FUNDS		5,029,518		—		—		5,029,518
Short-Term Investments		568,350		—		—		568,350
Total Investments		49,641,931		343,306,160		3,427,152		396,375,243
Derivatives^
Futures Contracts
Equity Risk		296,211		—		—		296,211
Total	$	49,938,142	$	343,306,160	$	3,427,152	$	396,671,454
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	30,510,287	$	—	$	30,510,287
Austria		—		7,721,663		—		7,721,663
Belgium		—		20,917,375		—		20,917,375
Denmark		—		122,897		—		122,897
Finland		—		3,502,449		—		3,502,449
France		20,038,031		117,784,845		—		137,822,876
Germany		—		46,216,271		—		46,216,271
Hong Kong		—		11,926,726		—		11,926,726
Ireland		—		4,575,283		—		4,575,283
Italy		—		65,004,027		—		65,004,027
Japan		9,486,576		253,098,394		—		262,584,970
Netherlands		—		69,860,876		—		69,860,876
Norway		—		25,144,624		—		25,144,624
Portugal		—		2,430,960		—		2,430,960
Singapore		—		26,906,605		—		26,906,605
Spain		—		66,096,890		—		66,096,890
Sweden		—		34,655,912		—		34,655,912
Switzerland		5,222,769		53,865,787		—		59,088,556
United Kingdom		29,432,864		88,674,803		—		118,107,667
TOTAL COMMON STOCKS		64,180,240		929,016,674		—		993,196,914
Preferred Stocks
Germany		—		2,666,939		—		2,666,939
TOTAL PREFERRED STOCKS		—		2,666,939		—		2,666,939
Debt Obligations
United States		2,000,928		—		—		2,000,928
TOTAL DEBT OBLIGATIONS		2,000,928		—		—		2,000,928
Mutual Funds
United States		66,296,735		—		—		66,296,735
TOTAL MUTUAL FUNDS		66,296,735		—		—		66,296,735
Short-Term Investments		1,449,710		—		—		1,449,710
Total Investments		133,927,613		931,683,613		—		1,065,611,226
Derivatives^
Futures Contracts
Equity Risk		111,705		—		—		111,705
Total	$	134,039,318	$	931,683,613	$	—	$	1,065,722,931

Description	Level 1		Level 2		Level 3		Total
International Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	16,113,616	$	—	$	16,113,616
Austria		—		4,305,096		—		4,305,096
Belgium		—		5,620,044		—		5,620,044
Canada		49,543,490		—		—		49,543,490
Denmark		—		4,317,650		—		4,317,650
Finland		—		6,170,990		—		6,170,990
France		1,334,940		52,948,818		—		54,283,758
Germany		—		16,333,608		—		16,333,608
Hong Kong		—		12,783,889		—		12,783,889
Italy		1,556,019		16,703,619		—		18,259,638
Japan		5,780,782		70,416,569		—		76,197,351
Netherlands		—		23,857,989		—		23,857,989
Norway		—		4,869,402		—		4,869,402
Portugal		—		4,628		—		4,628
Russia		—		—		31		31
Singapore		—		3,609,992		—		3,609,992
Spain		—		20,101,057		—		20,101,057
Sweden		—		5,672,340		—		5,672,340
Switzerland		9,238,688		19,322,443		—		28,561,131
United Kingdom		26,910,875		19,297,034		—		46,207,909
TOTAL COMMON STOCKS		94,364,794		302,448,784		31		396,813,609
Preferred Stocks
Germany		—		1,918,214		—		1,918,214
TOTAL PREFERRED STOCKS		—		1,918,214		—		1,918,214
Mutual Funds
United States		9,530,001		—		—		9,530,001
TOTAL MUTUAL FUNDS		9,530,001		—		—		9,530,001
Short-Term Investments		2,386,758		—		—		2,386,758
Total Investments		106,281,553		304,366,998		31		410,648,582
Total	$	106,281,553	$	304,366,998	$	31	$	410,648,582
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	163,571,878	$	—	$	163,571,878
Short-Term Investments		6,580,191		—		—		6,580,191
Total Investments		6,580,191		163,571,878		—		170,152,069
Total	$	6,580,191	$	163,571,878	$	—	$	170,152,069
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	113,765	$	—	$	113,765
Canada		3,744,192		—		—		3,744,192
Finland		—		992,126		—		992,126
France		—		4,598,928		—		4,598,928
Germany		—		2,009,253		—		2,009,253
Hong Kong		—		875,076		—		875,076
Ireland		2,401,782		—		—		2,401,782
Mexico		5,176,169		—		—		5,176,169
Netherlands		—		411,118		—		411,118
Russia		—		—		35,986		35,986
Spain		—		5,109,800		—		5,109,800
United Kingdom		—		8,386,588		—		8,386,588
United States		43,303,543		—		—		43,303,543
TOTAL COMMON STOCKS		54,625,686		22,496,654		35,986		77,158,326

Description	Level 1		Level 2		Level 3		Total
Quality Cyclicals Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	808,079	$	—	$	808,079
TOTAL PREFERRED STOCKS		—		808,079		—		808,079
Mutual Funds
United States		2,751,028		—		—		2,751,028
TOTAL MUTUAL FUNDS		2,751,028		—		—		2,751,028
Short-Term Investments		844,371		—		—		844,371
Total Investments		58,221,085		23,304,733		35,986		81,561,804
Total	$	58,221,085	$	23,304,733	$	35,986	$	81,561,804
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	437,882,067	$	—	$	437,882,067
Germany		—		330,680,696		—		330,680,696
Spain		—		68,998,819		—		68,998,819
Switzerland		—		240,497,806		—		240,497,806
Taiwan		—		305,522,851		—		305,522,851
United Kingdom		—		687,873,438		—		687,873,438
United States		7,463,321,961		—		—		7,463,321,961
TOTAL COMMON STOCKS		7,463,321,961		2,071,455,677		—		9,534,777,638
Mutual Funds
United States		302,069,053		—		—		302,069,053
TOTAL MUTUAL FUNDS		302,069,053		—		—		302,069,053
Short-Term Investments		1,428,818		—		—		1,428,818
Total Investments		7,766,819,832		2,071,455,677		—		9,838,275,509
Total	$	7,766,819,832	$	2,071,455,677	$	—	$	9,838,275,509
Resource Transition Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	773,621	$	—	$	—	$	773,621
Australia		—		2,829,946		—		2,829,946
Brazil		—		7,167,755		—		7,167,755
Canada		18,276,124		—		60,134		18,336,258
China		—		2,540,642		—		2,540,642
Finland		—		1,768,472		—		1,768,472
France		—		3,579,500		—		3,579,500
Italy		—		1,009,086		—		1,009,086
Japan		—		219,680		—		219,680
Mexico		3,900,551		—		—		3,900,551
Norway		—		845,524		—		845,524
South Africa		—		5,784,798		—		5,784,798
Spain		—		1,577,537		—		1,577,537
Sweden		—		4,561,893		—		4,561,893
United Kingdom		—		12,340,325		—		12,340,325
United States		53,840,485		—		—		53,840,485
TOTAL COMMON STOCKS		76,790,781		44,225,158		60,134		121,076,073
Preferred Stocks
Brazil		—		6,004,237		—		6,004,237
Chile		4,076,910		—		—		4,076,910
TOTAL PREFERRED STOCKS		4,076,910		6,004,237		—		10,081,147
Mutual Funds
United States		1,873,450		—		—		1,873,450
TOTAL MUTUAL FUNDS		1,873,450		—		—		1,873,450
Short-Term Investments		258,764		—		—		258,764
Total Investments		82,999,905		50,229,395		60,134		133,289,434
Total	$	82,999,905	$	50,229,395	$	60,134	$	133,289,434

Description	Level 1		Level 2		Level 3		Total
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	31,075,672	$	—	$	—	$	31,075,672
Australia		—		43,304,978		—		43,304,978
Austria		—		29,354,345		—		29,354,345
Brazil		—		84,770,332		—		84,770,332
Canada		226,839,002		—		144,151		226,983,153
China		—		25,971,530		—		25,971,530
Finland		—		19,596,189		—		19,596,189
France		—		36,950,729		—		36,950,729
Hong Kong		—		7,639,170		—		7,639,170
Hungary		—		10,700,529		—		10,700,529
Israel		—		19		—		19
Italy		—		48,368,538		—		48,368,538
Japan		—		4,784,543		—		4,784,543
Mexico		64,736,237		—		—		64,736,237
Norway		—		60,832,065		—		60,832,065
Portugal		—		85,806,216		—		85,806,216
Russia		—		—		1,514,987		1,514,987
Singapore		—		—		2		2
South Africa		—		59,131,149		—		59,131,149
Spain		—		58,818,564		—		58,818,564
Sweden		—		47,072,623		—		47,072,623
Ukraine		—		1,419,658		—		1,419,658
United Kingdom		11,013,420		287,200,800		—		298,214,220
United States		809,838,765		—		—		809,838,765
TOTAL COMMON STOCKS		1,143,503,096		911,721,977		1,659,140		2,056,884,213
Preferred Stocks
Brazil		—		136,398,744		—		136,398,744
Chile		44,098,576		—		—		44,098,576
Russia		—		—		716,284		716,284
TOTAL PREFERRED STOCKS		44,098,576		136,398,744		716,284		181,213,604
Mutual Funds
United States		39,681,789		—		—		39,681,789
TOTAL MUTUAL FUNDS		39,681,789		—		—		39,681,789
Short-Term Investments		72,191		—		—		72,191
Total Investments		1,227,355,652		1,048,120,721		2,375,424		2,277,851,797
Total	$	1,227,355,652	$	1,048,120,721	$	2,375,424	$	2,277,851,797
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	287,419,630	$	—	$	—	$	287,419,630
Mutual Funds		7,783,387		—		—		7,783,387
Short-Term Investments		312,509		—		—		312,509
Total Investments		295,515,526		—		—		295,515,526
Total	$	295,515,526	$	—	$	—	$	295,515,526
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	130,814,216	$	—	$	—	$	130,814,216
Debt Obligations		252,125		—		—		252,125
Mutual Funds		1,001,361		—		—		1,001,361
Short-Term Investments		591,647		—		—		591,647
Total Investments		132,659,349		—		—		132,659,349
Total	$	132,659,349	$	—	$	—	$	132,659,349

Description	Level 1		Level 2		Level 3		Total
U.S. Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks	$	542,329,756	$	—	$	—	$	542,329,756
Mutual Funds		5,280,987		—		—		5,280,987
Short-Term Investments		84,321		—		—		84,321
Total Investments		547,695,064		—		—		547,695,064
Total	$	547,695,064	$	—	$	—	$	547,695,064
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	37,846,726	$	—	$	—	$	37,846,726
Mutual Funds		1,023,828		—		—		1,023,828
Short-Term Investments		231,261		—		—		231,261
Total Investments		39,101,815		—		—		39,101,815
Total	$	39,101,815	$	—	$	—	$	39,101,815

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2024.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2024 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	22,390,770	$	205,687,052	$	224,803,629	$	162,325	**	$	—	$	—	$	—		$	3,274,193
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	4,681,209	$	8,934,308	$	10,511,000	$	33,257		$	—	$	—	$	—		$	3,104,517
Emerging Markets Fund
Anilana Hotels & Properties Ltd.	$	303,354	$	—	$	—	$	—		$	—	$	—	$	6,771		$	310,125
GMO U.S. Treasury Fund		1,004,664		14,016,854		9,992,000		14,566			—		—		—			5,029,518
Totals	$	1,308,018	$	14,016,854	$	9,992,000	$	14,566		$	—	$	—	$	6,771		$	5,339,643
International Equity Fund
GMO U.S. Treasury Fund	$	71,846,735	$	13,600,000	$	19,150,000	$	928,428		$	—	$	—	$	—		$	66,296,735
International Opportunistic Value Fund
GMO U.S. Treasury Fund	$	7,130,000	$	8,500,001	$	6,100,000	$	85,208		$	—	$	—	$	—		$	9,530,001
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	501,028	$	2,900,000	$	650,000	$	9,418		$	—	$	—	$	—		$	2,751,028
Quality Fund
GMO U.S. Treasury Fund	$	278,669,053	$	215,700,000	$	192,300,000	$	4,284,915		$	—	$	—	$	—		$	302,069,053
Resource Transition Fund
GMO U.S. Treasury Fund	$	2,049,511	$	2,223,939	$	2,400,000	$	24,040		$	—	$	—	$	—		$	1,873,450
Resources Fund
GMO U.S. Treasury Fund	$	56,231,789	$	172,600,000	$	189,150,000	$	838,691		$	—	$	4,000	$	(4,000	)	$	39,681,789
Small Cap Quality Fund
GMO U.S. Treasury Fund	$	7,392,442	$	29,540,945	$	29,150,000	$	141,505		$	—	$	—	$	—		$	7,783,387
U.S. Equity Fund
GMO U.S. Treasury Fund	$	1,994,361	$	3,000,000	$	3,993,000	$	9,740		$	—	$	—	$	—		$	1,001,361
U.S. Opportunistic Value Fund
GMO U.S. Treasury Fund	$	9,902,208	$	5,998,779	$	10,620,000	$	99,583		$	—	$	—	$	—		$	5,280,987

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	573,827	$	450,001	$	—	$	10,106	$	—	$	—	$	—	$	1,023,828

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through May 31, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $113,362 in Climate Change Fund during the period.

Subsequent events

Subsequent to May 31, 2024, GMO Emerging Markets ex-China Fund received redemption requests in the amount of $34,194,510.

***

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 9.9%
		U.S. Government — 9.9%
	4,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		4,004,362
		TOTAL DEBT OBLIGATIONS (COST $4,000,619)		4,004,362
		SHORT-TERM INVESTMENTS — 89.2%
		Sovereign and Sovereign Agency Issuers — 4.2%
JPY	270,000,000	Japan Treasury Discount Bills, Zero Coupon, due 06/17/24		1,716,834
		Repurchase Agreements — 84.1%
	33,999,875	Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $34,014,920 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $34,799,070.		33,999,875
		Money Market Funds — 0.9%
	357,662	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b)		357,662
		TOTAL SHORT-TERM INVESTMENTS (COST $36,193,391)		36,074,371
		TOTAL INVESTMENTS — 99.1% (Cost $40,194,010)		40,078,733
		Other Assets and Liabilities (net) — 0.9%		375,512
		TOTAL NET ASSETS — 100.0%		$40,454,245

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/17/2024	SSB	JPY	270,000,000		USD	1,864,705	$	144,488

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
124	U.S. Long Bond (CBT)		September 2024		14,391,750		(115,997	)
118	U.S. Treasury Note 10 Yr. (CBT)		September 2024		12,838,031		21,537
91	U.S. Treasury Note 2 Yr. (CBT)		September 2024		18,536,984		(20,891	)
278	U.S. Treasury Note 5 Yr. (CBT)		September 2024		29,411,531		(73,968	)
271	U.S. Treasury Ultra 10 Yr. (CBT)		September 2024		30,360,469		(102,050	)
71	U.S. Ultra Bond (CBT)		September 2024		8,693,063		(60,117	)
				$	114,231,828	$	(351,486	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current May 31, 2024, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

SSB - State Street Bank and Trust Company

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 92.8%
		Albania — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	36,649,849	Albania Government International Bonds, Zero Coupon, due 08/31/25 (a) (b)		33,994,262
EUR	8,400,000	Albania Government International Bonds, Reg S, 3.50%, due 11/23/31		8,274,522
		Total Albania		42,268,784
		Angola — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	17,200,000	Angola Government International Bonds, Reg S, 9.38%, due 05/08/48		14,620,000
		Argentina — 3.7%
		Sovereign and Sovereign Agency Issuers — 3.7%
	19,790,713	Argentina Republic Government International Bonds, 1.00%, due 07/09/29		11,432,078
	23,933,493	Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30		13,522,423
JPY	300,295,076	Argentina Republic Government International Bonds, Variable Rate, 4.33%, due 12/31/33 (c)		434,408
EUR	7,800,000	Argentina Republic Government International Bonds, Step Up, 2.50%, due 07/09/35		3,302,498
	11,147,942	Argentina Republic Government International Bonds, Step Up, 3.63%, due 07/09/35		4,877,225
EUR	22,930,000	Argentina Republic Government International Bonds, Step Up, 3.75%, due 01/09/38		10,287,956
	35,898,994	Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 (d)		16,829,377
JPY	246,273,000	Argentina Republic Government International Bonds, 0.67%, due 12/31/38 (c)		266,216
EUR	6,060,000	Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41		2,423,035
	11,801,240	Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41		4,850,310
	38,547,000	Argentina Republic Government International Bonds, Step Up, 3.63%, due 07/09/46		17,442,517
		Total Argentina		85,668,043
		Armenia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,400,000	Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31		1,959,240

Par Value†		Description	Value ($)
		Bahamas — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	8,040,000	Bahamas Government International Bonds, Reg S, 6.00%, due 11/21/28		7,195,800
	4,000,000	Bahamas Government International Bonds, Reg S, 9.00%, due 06/16/29		3,927,200
	13,840,000	Bahamas Government International Bonds, Reg S, 8.95%, due 10/15/32		13,424,662
		Total Bahamas		24,547,662
		Bahrain — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	12,850,000	Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44		10,610,373
	49,190,000	Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47		47,448,182
	450,000	Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51		377,114
		Total Bahrain		58,435,669
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	15,020,000	Barbados Government International Bonds, Reg S, 6.50%, due 10/01/29		14,217,181
		Belarus — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	7,504,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (e)		2,626,400
	18,400,000	Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 (c) (e)		7,084,000
		Total Belarus		9,710,400
		Benin — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	3,350,000	Benin Government International Bonds, Reg S, 6.88%, due 01/19/52		2,925,162
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,600,000	Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 (d)		4,266,564
		Brazil — 1.8%
		Corporate Debt — 1.1%
	17,316,581	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		16,201,826
	7,300,000	Yinson Boronia Production BV, 144A, 8.95%, due 07/31/42		7,365,700
				23,567,526

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Brazil — continued
		Sovereign and Sovereign Agency Issuers — 0.7%
	10,500,000	Brazil Government International Bonds, 4.75%, due 01/14/50		7,560,000
BRL	46,254,999	Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 (f)		8,985,145
				16,545,145
		Total Brazil		40,112,671
		Bulgaria — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	2,500,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		2,414,099
		Cameroon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	9,200,000	Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32		7,867,173
		Chile — 2.4%
		Corporate Debt — 1.2%
	15,951,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		14,059,212
	9,061,825	ILAP Holdings Ltd., 144A, 5.00%, due 06/15/33 (c)		915,244
	13,591,746	Inversiones Latin America Power SpA, 144A, 11.00%, due 06/15/33		12,018,909
	974,428	Inversiones Latin America Power SpA, 144A, 12.00%, due 06/15/33 (c)		964,684
				27,958,049
		Sovereign and Sovereign Agency Issuers — 1.2%
	2,600,000	Banco del Estado de Chile, 144A, Variable Rate, 7.95%, due 05/02/29		2,674,750
	4,000,000	Chile Electricity Lux MPC SARL, 144A, 6.01%, due 01/20/33		3,996,920
	4,200,000	Chile Government International Bonds, 3.10%, due 05/07/41		3,040,590
	700,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		678,321
	3,500,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		2,929,325
	18,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		13,746,562
				27,066,468
		Total Chile		55,024,517
		China — 0.0%
		Corporate Debt — 0.0%
	10,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (e)		102,000
	13,000,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (e)		162,500
	6,800,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (e)		68,000
	5,500,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (e)		55,000

Par Value†		Description	Value ($)
		China — continued
		Corporate Debt — continued
	1,900,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (e)		19,000
	3,300,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (e)		33,000
	3,700,000	Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (e)		37,000
		Total China		476,500
		Colombia — 4.2%
		Corporate Debt — 0.6%
	11,740,000	AI Candelaria Spain SA, Reg S, 5.75%, due 06/15/33		9,274,600
COP	25,905,189,423	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		5,196,702
				14,471,302
		Sovereign and Sovereign Agency Issuers — 3.6%
	992,000	Colombia Government International Bonds, 8.38%, due 02/15/27 (a)		1,007,870
	2,800,000	Colombia Government International Bonds, 11.85%, due 03/09/28 (a)		3,163,300
	74,600,000	Colombia Government International Bonds, 5.63%, due 02/26/44		56,882,500
	6,200,000	Colombia Government International Bonds, 5.20%, due 05/15/49		4,333,800
	11,720,000	Ecopetrol SA, 5.88%, due 11/02/51		8,013,550
COP	37,736,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,624,789
				82,025,809
		Total Colombia		96,497,111
		Congo Republic (Brazzaville) — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	32,290,719	Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 (c)		26,998,270
		Costa Rica—1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	4,400,000	Costa Rica Government International Bonds, 144A, 6.55%, due 04/03/34		4,500,364
	17,031,000	Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45		17,661,147
	3,463,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,031,926
		Total Costa Rica		25,193,437
		Cote D’Ivoire — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
EUR	1,400,000	Ivory Coast Government International Bonds, Reg S, 6.88%, due 10/17/40		1,291,877
EUR	22,500,000	Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48		19,354,380
		Total Cote D’Ivoire		20,646,257

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,058,000	CEZ AS, Reg S, 5.63%, due 04/03/42		3,523,482
		Dominican Republic — 2.4%
		Sovereign and Sovereign Agency Issuers — 2.4%
	400,000	Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41		339,164
	500,000	Dominican Republic International Bonds, Reg S, 6.85%, due 01/27/45		490,735
	4,210,000	Dominican Republic International Bonds, Reg S, 6.40%, due 06/05/49		3,928,519
	59,929,000	Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60		50,565,094
		Total Dominican Republic		55,323,512
		Ecuador — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	1,200,000	Ecuador Government International Bonds, 5.00%, due 02/28/25 (c)		1,140,000
	5,546,892	Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30		2,816,434
	27,276,250	Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30 (d)		18,193,259
	45,187,125	Ecuador Government International Bonds, Reg S, Step Up, 3.50%, due 07/31/35		23,147,105
	24,803,750	Ecuador Government International Bonds, Reg S, Step Up, 2.50%, due 07/31/40 (d)		11,558,548
	3,744,250	Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35		2,571,214
		Total Ecuador		59,426,560
		Egypt — 2.9%
		Sovereign and Sovereign Agency Issuers — 2.9%
	10,800,000	Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47		8,410,500
	21,800,000	Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49		17,325,986
	32,800,000	Egypt Government International Bonds, Reg S, 8.88%, due 05/29/50		26,494,528
	17,764,000	Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59		13,416,083
		Total Egypt		65,647,097
		El Salvador — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	2,340,000	El Salvador Government International Bonds, Reg S, 7.63%, due 09/21/34		1,597,050
	24,000,000	El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50		15,132,000
		Total El Salvador		16,729,050
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,690,000	Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24		1,895,778

Par Value†		Description	Value ($)
		Gabon — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	7,400,000	Gabon Blue Bond Master Trust, 144A, 6.10%, due 08/01/38		7,239,592
	3,700,000	Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31		2,945,200
	9,600,000	Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31		7,642,464
		Total Gabon		17,827,256
		Ghana — 1.9%
		Sovereign and Sovereign Agency Issuers — 1.9%
	8,200,000	Ghana Government International Bonds, Reg S, 8.88%, due 05/07/42 (e)		4,191,922
	11,700,000	Ghana Government International Bonds, Reg S, 8.63%, due 06/16/49 (e)		5,882,526
	25,900,000	Ghana Government International Bonds, Reg S, 8.95%, due 03/26/51 (e)		13,256,138
	33,200,000	Ghana Government International Bonds, Reg S, 8.75%, due 03/11/61 (e)		17,078,080
	6,469,920	Saderea DAC, Reg S, 12.50%, due 11/30/26 (e)		3,037,433
		Total Ghana		43,446,099
		Grenada — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,396,750	Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30		3,034,996
		Guatemala — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	3,515,000	Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34		3,800,875
	4,600,000	Guatemala Government Bonds, Reg S, 4.65%, due 10/07/41		3,598,396
	13,300,000	Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50		11,991,413
		Total Guatemala		19,390,684
		Honduras — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,450,000	Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 (d)		2,112,513
		Hungary — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	19,900,000	Hungary Government International Bonds, 144A, 5.50%, due 06/16/34		19,207,281
	15,450,000	Hungary Government International Bonds, 144A, 5.50%, due 03/26/36		14,713,807
	22,400,000	Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51		13,926,304
		Total Hungary		47,847,392

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		India — 0.9%
		Corporate Debt — 0.9%
	3,200,000	Adani Green Energy UP Ltd/Prayatna Developers Pvt Ltd/Parampujya Solar Energy, 144A, 6.70%, due 03/12/42		2,960,000
	8,711,250	Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharash, Reg S, 4.63%, due 10/15/39		6,969,348
	9,800,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		9,702,000
		Total India		19,631,348
		Indonesia — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
	12,200,000	Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Reg S, 5.80%, due 05/15/50		11,140,430
	2,800,000	Indonesia Government International Bonds, 4.85%, due 01/11/33		2,717,400
	3,391,000	Indonesia Government International Bonds, 5.45%, due 09/20/52		3,302,190
	2,012,920	LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39		1,993,998
	26,200,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		23,255,382
	4,900,000	Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32		4,733,302
	2,700,000	Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Reg S, 6.25%, due 01/25/49		2,659,689
		Total Indonesia		49,802,391
		Israel — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	14,283,000	Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96		15,866,396
		Jamaica — 0.5%
		Corporate Debt — 0.2%
	5,863,559	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		5,111,440
		Sovereign and Sovereign Agency Issuers — 0.3%
	2,675,000	Jamaica Government International Bonds, 7.88%, due 07/28/45		3,105,006
	4,200,000	National Road Operating & Constructing Co. Ltd., Reg S, 9.38%, due 11/10/24		4,235,700
				7,340,706
		Total Jamaica		12,452,146
		Jordan — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	30,795,000	Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47		26,810,435

Par Value†		Description	Value ($)
		Kazakhstan — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	18,980,000	KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48		17,470,900
		Kenya — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	25,694,000	Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48		21,477,101
		Latvia — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	6,850,000	Latvia Government International Bonds, 144A, 5.13%, due 07/30/34		6,734,030
		Lebanon — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	6,200,000	Lebanon Government International Bonds, Reg S, 6.85%, due 03/23/27 (e)		424,700
	5,047,000	Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 (e)		345,720
	55,005,000	Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 (e)		3,767,842
	19,100,000	Lebanon Government International Bonds, 8.20%, due 05/17/33 (e)		1,308,350
	51,714,000	Lebanon Government International Bonds, 8.25%, due 05/17/34 (e)		3,542,409
		Total Lebanon		9,389,021
		Mexico — 6.3%
		Sovereign and Sovereign Agency Issuers — 6.3%
	5,200,000	Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49		4,407,000
GBP	55,806,000	Mexico Government International Bonds, 5.63%, due 03/19/2114		53,722,808
	4,700,000	Petroleos Mexicanos, Reg S, 6.63%, due 07/01/24 (d)		2,925,750
	115,700,000	Petroleos Mexicanos, 7.69%, due 01/23/50		83,986,630
		Total Mexico		145,042,188
		Mongolia — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	8,800,000	Development Bank of Mongolia LLC, 11.00%, due 03/07/26		8,932,968
		Montenegro — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	1,800,000	Montenegro Government International Bonds, 144A, 7.25%, due 03/12/31		1,810,692
		Morocco — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	8,300,000	Morocco Government International Bonds, 144A, 6.50%, due 09/08/33		8,462,473
	5,100,000	OCP SA, Reg S, 6.88%, due 04/25/44		4,824,294

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Morocco — continued
		Sovereign and Sovereign Agency Issuers — continued
	1,500,000	OCP SA, Reg S, 5.13%, due 06/23/51		1,111,635
		Total Morocco		14,398,402
		Mozambique — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	6,876,000	Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31		5,640,658
		Nigeria — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	22,750,000	Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51		17,946,792
		Oman — 1.9%
		Sovereign and Sovereign Agency Issuers — 1.9%
	42,400,000	Oman Government International Bonds, Reg S, 6.75%, due 01/17/48		42,506,000
	1,100,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		1,081,399
		Total Oman		43,587,399
		Pakistan — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	13,300,000	Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36		10,175,963
	4,426,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		3,326,537
		Total Pakistan		13,502,500
		Panama — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	1,061,644	AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30		910,360
	3,300,000	Panama Bonos del Tesoro, Reg S, 6.38%, due 07/25/33		3,108,369
	8,937,000	Panama Government International Bonds, 8.13%, due 04/28/34		9,503,990
	24,100,000	Panama Government International Bonds, 6.40%, due 02/14/35		22,617,850
	8,100,000	Panama Government International Bonds, 8.00%, due 03/01/38		8,468,550
	23,800,000	Panama Government International Bonds, 4.50%, due 04/01/56		15,141,322
	8,200,000	Panama Government International Bonds, 4.50%, due 01/19/63		5,141,400
		Total Panama		64,891,841
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	1,100,000	Papua New Guinea Government International Bonds, Reg S, 8.38%, due 10/04/28		1,044,098

Par Value†		Description	Value ($)
		Peru — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	13,500,000	Peru Government International Bonds, 3.60%, due 01/15/72		8,457,750
	44,845,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		26,682,775
		Total Peru		35,140,525
		Philippines — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	3,500,000	Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 (c)		4,497,500
	10,400,000	Philippines Government International Bonds, 3.20%, due 07/06/46		7,203,144
	3,212,000	Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28		3,671,316
		Total Philippines		15,371,960
		Poland — 2.5%
		Sovereign and Sovereign Agency Issuers — 2.5%
	4,200,000	Bank Gospodarstwa Krajowego, 144A, 5.38%, due 05/22/33		4,105,500
	9,500,000	Republic of Poland Government International Bonds, 5.75%, due 11/16/32		9,790,415
	26,600,000	Republic of Poland Government International Bonds, 5.13%, due 09/18/34		25,949,896
	5,200,000	Republic of Poland Government International Bonds, 5.50%, due 04/04/53		5,018,728
	12,400,000	Republic of Poland Government International Bonds, 5.50%, due 03/18/54		11,887,136
		Total Poland		56,751,675
		Republic of North Macedonia — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
EUR	10,700,000	North Macedonia Government International Bonds, Reg S, 1.63%, due 03/10/28		10,132,072
		Romania — 2.9%
		Sovereign and Sovereign Agency Issuers — 2.9%
EUR	8,900,000	Romania Government International Bonds, 144A, 6.38%, due 09/18/33		10,217,042
	13,200,000	Romania Government International Bonds, 144A, 6.38%, due 01/30/34		13,158,288
EUR	4,800,000	Romania Government International Bonds, Reg S, 3.88%, due 10/29/35		4,442,106
EUR	21,300,000	Romania Government International Bonds, 144A, 5.63%, due 02/22/36		22,794,693
EUR	4,500,000	Romania Government International Bonds, Reg S, 2.88%, due 04/13/42		3,255,116
EUR	9,500,000	Romania Government International Bonds, Reg S, 3.38%, due 01/28/50		7,040,756
	5,700,000	Romania Government International Bonds, Reg S, 7.63%, due 01/17/53		6,182,220
		Total Romania		67,090,221

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Russia — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (a) (e) (g)		3,435
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (a) (e) (g)		2,600
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (a) (e) (g)		3,400
	6,400,000	Russia Foreign Bonds – Eurobond, Reg S, 5.10%, due 03/28/35 (c) (e)		4,076,800
	20,000,000	Russia Foreign Bonds – Eurobond, 144A, 5.10%, due 03/28/35 (c) (e)		12,740,000
		Total Russia		16,826,235
		Rwanda — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,100,000	Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31		3,316,367
		Saudi Arabia — 2.7%
		Corporate Debt — 0.9%
	21,651,165	ACWA Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39		20,821,709
		Sovereign and Sovereign Agency Issuers — 1.8%
	8,900,000	Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47		7,543,640
	11,200,000	Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53		9,755,200
	35,600,000	Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61		22,828,500
				40,127,340
		Total Saudi Arabia		60,949,049
		Senegal — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	4,000,000	Senegal Government International Bonds, Reg S, 5.38%, due 06/08/37		3,175,397
	5,800,000	Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48		4,226,808
		Total Senegal		7,402,205
		Serbia — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	3,900,000	Serbia International Bonds, Reg S, 6.50%, due 09/26/33		3,900,000
EUR	13,700,000	Serbia International Bonds, Reg S, 2.05%, due 09/23/36		10,559,627
		Total Serbia		14,459,627
		South Africa — 3.2%
		Sovereign and Sovereign Agency Issuers — 3.2%
	16,900,000	Eskom Holdings SOC Ltd., Reg S, 8.45%, due 08/10/28		16,815,500
ZAR	150,350,000	Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32		1,688,226

Par Value†		Description	Value ($)
		South Africa — continued
		Sovereign and Sovereign Agency Issuers — continued
ZAR	532,500,000	Republic of South Africa Government International Bonds, 6.50%, due 02/28/41		16,325,582
	40,800,000	Republic of South Africa Government International Bonds, 5.75%, due 09/30/49		29,325,000
	8,300,000	Transnet SOC Ltd., Reg S, 8.25%, due 02/06/28		8,209,696
ZAR	20,200,000	Transnet SOC Ltd., Reg S, 13.50%, due 04/18/28		1,103,887
		Total South Africa		73,467,891
		Sri Lanka — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	4,880,000	Sri Lanka Government International Bonds, Reg S, 6.83%, due 07/18/26 (e)		2,863,389
	8,544,000	Sri Lanka Government International Bonds, Reg S, 6.20%, due 05/11/27 (e)		4,988,628
	22,600,000	Sri Lanka Government International Bonds, Reg S, 6.75%, due 04/18/28 (e)		13,138,736
	7,700,000	Sri Lanka Government International Bonds, Reg S, 7.85%, due 03/14/29 (e)		4,457,222
	23,800,000	Sri Lanka Government International Bonds, Reg S, 7.55%, due 03/28/30 (e)		13,657,868
		Total Sri Lanka		39,105,843
		Suriname — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	16,324,446	Suriname Government International Bonds, 144A, 7.95%, due 07/15/33		15,100,113
	8,195,000	Suriname Government International Bonds, 144A, Variable Rate, 9.00%, due 12/31/50		6,184,848
		Total Suriname		21,284,961
		Tajikistan — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,774,000	Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27		5,419,534
		Trinidad And Tobago — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	17,400,000	Heritage Petroleum Co. Ltd., Reg S, 9.00%, due 08/12/29		18,117,750
	8,600,000	Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29		8,379,668
		Total Trinidad And Tobago		26,497,418
		Tunisia — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
JPY	5,411,700,000	Tunisian Republic, 4.30%, due 08/02/30 (c)		21,679,147
JPY	1,780,000,000	Tunisian Republic, 4.20%, due 03/17/31 (c)		7,017,454
JPY	730,000,000	Tunisian Republic, 3.50%, due 02/03/33		2,811,199
		Total Tunisia		31,507,800

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Turkey — 3.0%
		Sovereign and Sovereign Agency Issuers — 3.0%
	8,544,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		8,395,932
	20,800,000	Turkiye Government International Bonds, 4.88%, due 04/16/43		14,601,600
	59,313,000	Turkiye Government International Bonds, 5.75%, due 05/11/47		45,315,132
		Total Turkey		68,312,664
		Ukraine — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	5,000,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (e)		1,825,000
	12,600,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (e)		3,402,000
	3,819,000	Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/28 (e)		1,118,967
	2,800,000	Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/28 (e)		820,400
	2,369,000	Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/29 (e)		687,010
	1,600,000	Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/29 (e)		464,000
	16,200,000	Ukraine Government International Bonds, Reg S, 9.75%, due 11/01/30 (e)		4,860,000
	25,400,000	Ukraine Government International Bonds, Reg S, 7.38%, due 09/25/34 (e)		6,858,000
	20,200,000	Ukraine Government International Bonds, Reg S, 7.25%, due 03/15/35 (e)		5,433,800
	180,000	Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (e)		107,100
		Total Ukraine		25,576,277
		United Arab Emirates — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	5,600,000	Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49		3,807,440
	5,100,000	Abu Dhabi Government International Bonds, 144A, 5.50%, due 04/30/54		5,061,750
	11,300,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		7,217,875
	16,400,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		11,253,516
		Total United Arab Emirates		27,340,581
		United States — 0.6%
		Asset-Backed Securities — 0.3%
	554,370	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.67%, due 12/15/35		538,041
	124,805	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.67%, due 12/15/35		123,996

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	408,203	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.63%, due 05/15/36		386,410
	5,841,419	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 5.59%, due 11/25/36		1,836,384
	5,894,045	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 5.66%, due 11/25/36		1,852,894
	3,018,239	WaMu Asset-Backed Certificates WaMu Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 04/25/37		1,107,752
				5,845,477
		U.S. Government — 0.3%
	8,300,000	U.S. Treasury Notes, 3.88%, due 11/30/27 (h)		8,102,551
		Total United States		13,948,028
		Uruguay — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
UYU	379,600,000	Uruguay Government International Bonds, 9.75%, due 07/20/33		10,097,774
	2,218,000	Uruguay Government International Bonds, 5.10%, due 06/18/50		2,072,543
		Total Uruguay		12,170,317
		Uzbekistan — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	5,200,000	Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30		4,282,200
	9,850,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		8,257,846
		Total Uzbekistan		12,540,046
		Venezuela — 3.7%
		Sovereign and Sovereign Agency Issuers — 3.7%
	101,165,000	C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 (c) (e)		8,346,113
	159,800,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (e)		18,856,400
	49,667,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (e)		5,960,040
	12,300,000	Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 (e)		1,678,950
	29,228,000	Venezuela Government International Bonds, Reg S, 7.75%, due 10/13/19 (e)		4,311,130
	33,200,000	Venezuela Government International Bonds, Reg S, 6.00%, due 12/09/20 (e)		4,731,000
	21,550,000	Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 (e)		4,202,250

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Venezuela — continued
		Sovereign and Sovereign Agency Issuers — continued
	136,993,000	Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 (e)		23,494,299
	64,400,000	Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 (e)		12,075,000
		Total Venezuela		83,655,182
		Vietnam — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	5,858,000	Viet Nam Debt & Asset Trading Corp., Reg S, 1.00%, due 10/10/25		5,322,462
	7,318,000	Vietnam Government International Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.81%, 6.50%, due 03/13/28		7,240,795
		Total Vietnam		12,563,257
		Zambia — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	2,600,000	Zambia Government International Bonds, Reg S, 5.38%, due 09/20/22 (e)		1,774,500
	22,272,000	Zambia Government International Bonds, Reg S, 8.97%, due 07/30/27 (e)		16,976,387
		Total Zambia		18,750,887
		TOTAL DEBT OBLIGATIONS (COST $2,756,003,982)		2,126,065,087
		LOAN ASSIGNMENTS — 0.9%
		Chad — 0.3%
	7,661,869	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.85%, due 12/31/27 (c)		6,186,959
		Kenya — 0.0%
	983,334	Kenya Government International Bonds, Variable Rate, 6 mo. LIBOR + 6.70%, 12.58%, due 04/10/25 (a)		959,385
		Turkey — 0.6%
	12,567,857	Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 (a)		13,364,011
		TOTAL LOAN ASSIGNMENTS (COST $21,564,355)		20,510,355
		LOAN PARTICIPATIONS — 0.3%
		Angola — 0.3%
	5,271,429	Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		5,056,829

Par Value† / Shares		Description	Value ($)
		Angola — continued
	1,283,333	Angola Government International Bonds Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		1,259,335
		Total Angola		6,316,164
		Iraq — 0.0%
EUR	448,068	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		412,277
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations, (Participation with GML International Ltd.) (c) (e)		2
		Sudan — 0.0%
CHF	11,833,578	Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (e)		590,138
CHF	5,155,077	Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (e)		257,083
		Total Sudan		847,221
		TOTAL LOAN PARTICIPATIONS (COST $27,314,971)		7,575,664
		INVESTMENT FUNDS — 0.6%
		Colombia — 0.6%
	9,300,000	Bona Fide Investment Holdings II LLC (a) (i) (j)		12,842,231
	595,665	Bona Fide Investments Feeder LLC (a) (i) (j)		682,330
		Total Colombia		13,524,561
		TOTAL INVESTMENT FUNDS (COST $9,895,665)		13,524,561
		RIGHTS/WARRANTS — 0.9%
		Argentina — 0.7%
EUR	246,989,675	Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (k)		14,970,257
JPY	1,723,445,000	Argentina Republic Government International Bonds GDP Linked, Expires 12/15/35 (a) (k)		306,081
		Total Argentina		15,276,338
		Ukraine — 0.2%
	10,646,000	Ukraine Government International Bonds GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (k)		5,482,690
		TOTAL RIGHTS/WARRANTS (COST $42,051,371)		20,759,028

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.5%
		Money Market Funds — 0.2%
	4,250,317	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (l)		4,250,317
		Repurchase Agreements — 2.3%
	52,999,503	Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $53,022,955 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $54,245,300.		52,999,503
		TOTAL SHORT-TERM INVESTMENTS (COST $57,249,820)		57,249,820
		TOTAL INVESTMENTS — 98.0% (Cost $2,914,080,164)		2,245,684,515
		Other Assets and Liabilities (net) — 2.0%		45,643,219
		TOTAL NET ASSETS — 100.0%		$2,291,327,734

 

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
Bona Fide Investment Holdings II LLC	06/07/23	$	9,300,000	0.6%	$	12,842,231
Bona Fide Investments Feeder LLC	12/31/21		595,665	0.0%		682,330
GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27	04/30/20		6,694,159	0.0%		3,435
GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28	03/12/21		5,324,804	0.0%		2,600
GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29	01/26/22		5,924,470	0.0%		3,400
					$	13,533,996

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter-party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/04/2024	MSCI	BRL	48,100,000		USD	9,589,314		428,980
08/02/2024	MSCI	BRL	48,100,000		USD	9,202,395		93,226
08/23/2024	MSCI	COP	88,310,000,000		USD	22,773,516		207,749
07/10/2024	MSCI	HKD	739,000,000		USD	94,604,109		12,605
07/24/2024	MSCI	JPY	4,540,100,000		USD	29,746,235		657,899
07/16/2024	BCLY	USD	14,399,330		TRY	516,000,000		1,012,588
06/28/2024	BOA	USD	4,673,320		ZAR	89,790,000		97,160
06/28/2024	MSCI	USD	8,345,677		ZAR	159,100,000		107,196
06/24/2024	MSCI	EUR	147,400,000		USD	159,902,026		(172,142	)
07/16/2024	MSCI	GBP	43,800,000		USD	54,581,217		(1,242,589	)
06/04/2024	MSCI	USD	9,259,438		BRL	48,100,000		(99,103	)
06/28/2024	MSCI	ZAR	610,400,000		USD	31,907,998		(522,131	)
							$	581,438

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Reverse Repurchase Agreements^(m)

Face Value			Description	Value ($)
USD	(1,940,225	)	Barclays Bank PLC, 4.55%, dated 01/31/24, (Collateral: Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30), to be repurchased on demand at face value plus accrued interest.		(1,940,225	)
USD	(835,926	)	Nomura International PLC, 4.75%, dated 03/26/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(835,926	)
USD	(315,143	)	Nomura International PLC, 4.75%, dated 04/03/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(315,143	)
USD	(633,190	)	Nomura International PLC, 4.75%, dated 04/09/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(633,190	)
USD	(1,629,590	)	Nomura International PLC, 4.75%, dated 05/14/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(1,629,590	)
USD	(6,980,922	)	Morgan Stanley & Co. International PLC, 4.85%, dated 05/15/24, (Collateral: Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38), to be repurchased on demand at face value plus accrued interest.		(6,980,922	)
USD	(253,989	)	Nomura International PLC, 4.75%, dated 05/22/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(253,989	)
USD	(435,047	)	Nomura International PLC, 4.75%, dated 05/22/24, (Collateral: Petroleos Mexicanos, Reg S, 6.63%, due 07/01/24), to be repurchased on demand at face value plus accrued interest.		(435,047	)
USD	(254,955	)	Nomura International PLC, 4.75%, dated 05/30/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(254,955	)
USD	(254,922	)	Nomura International PLC, 4.75%, dated 05/31/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(254,922	)
USD	(830,707	)	Nomura International PLC, 4.75%, dated 05/31/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 2.50%, due 07/31/40), to be repurchased on demand at face value plus accrued interest.		(830,707	)
				$	(14,364,616	)
			Average balance outstanding	$	(13,136,933	)
			Average interest rate (net)		(5.33	)%
			Maximum balance outstanding	$	(22,389,325	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Buy Protection^:

CDX.EM.40.V1

USD

94,100,000

1.00%

1.51%

N/A

12/20/2028

Quarterly

$

2,766,540

$

1,893,668

$

(872,872

)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Petrobras Global Finance BV	CITI	USD	36,900,000		1.00%		0.28%		N/A		12/20/2024		Quarterly		585,824			(146,746	)		(732,570	)
Republic of Turkey	BCLY	USD	12,700,000		1.00%		0.50%		N/A		12/20/2024		Quarterly		1,582,287			(34,756	)		(1,617,043	)
Republic of Turkey	CITI	USD	17,900,000		1.00%		0.50%		N/A		12/20/2024		Quarterly		1,213,688			(48,987	)		(1,262,675	)
Commonwealth of Bahamas	DB	EUR	13,236,906		1.00%		4.60%		N/A		06/20/2025		Quarterly		1,604,211			274,428			(1,329,783	)
Republic of Brazil	MORD	USD	12,700,000		1.00%		0.66%		N/A		06/20/2026		Quarterly		(86,723	)		(85,361	)		1,362
Republic of Colombia	MORD	USD	45,300,000		1.00%		0.82%		N/A		06/20/2026		Quarterly		(192,991	)		(157,276	)		35,715
Republic of South Africa Government International Bonds	MORD	USD	34,300,000		1.00%		1.15%		N/A		06/20/2026		Quarterly		195,905			102,183			(93,722	)
Republic of Egypt	CITI	USD	2,300,000		1.00%		4.90%		N/A		12/20/2027		Quarterly		655,500			270,246			(385,254	)
Republic of Egypt	JPM	USD	2,500,000		1.00%		4.90%		N/A		12/20/2027		Quarterly		690,000			293,745			(396,255	)
Republic of Egypt	JPM	USD	2,500,000		1.00%		4.90%		N/A		12/20/2027		Quarterly		725,000			293,745			(431,255	)
Kingdom of Bahrain	MORD	USD	5,400,000		1.00%		1.53%		N/A		06/20/2028		Quarterly		401,901			103,833			(298,068	)
Republic of Turkey	MORD	USD	1,600,000		1.00%		2.19%		N/A		06/20/2028		Quarterly		350,661			67,917			(282,744	)
Republic of South Africa Government International Bonds	GS	USD	30,500,000		1.00%		2.38%		N/A		06/20/2029		Quarterly		2,050,744			1,809,257			(241,487	)
United States of Mexico	GS	USD	14,700,000		1.00%		0.94%		N/A		06/20/2029		Quarterly		1,168,387			(38,707	)		(1,207,094	)
United States of Mexico	MORD	USD	14,700,000		1.00%		0.94%		N/A		06/20/2029		Quarterly		(28,782	)		(38,707	)		(9,925	)
United States of Mexico	GS	USD	14,700,000		1.00%		1.34%		N/A		09/20/2031		Quarterly		1,940,881			305,861			(1,635,020	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	17,626,321		1.00%		4.59%		17,626,321 USD		06/20/2025		Quarterly		(1,850,318	)		(333,138	)		1,517,180
														$	11,006,175		$	2,637,537		$	(8,368,638	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.30%	JPY-TONA-OIS-COMPOUND	JPY	8,570,000,000		12/21/2027		Annually		(62,493	)		624,636			687,129
USD-SOFR-COMPOUND	4.01%	USD	162,500,000		12/21/2027		Annually		155,081			(2,355,098	)		(2,510,179	)
BRL-CDI	11.40%	BRL	233,411,508		01/02/2029		At Maturity		(145,905	)		(196,378	)		(50,473	)
0.58%	JPY-TONA-OIS-COMPOUND	JPY	4,360,000,000		12/21/2032		Annually		(100,288	)		944,165			1,044,453
5.56%	CL-CLICP-Bloomberg	CLP	25,400,000,000		12/20/2033		Semi-Annually		217,080			(504,510	)		(721,590	)
3.20%	EURIBOR	EUR	34,000,000		12/20/2033		Semi-Annually		173,932			(896,068	)		(1,070,000	)
2.80%	THB-THOR	THB	930,000,000		03/20/2034		Quarterly		(86,159	)		87,872			174,031
USD-SOFR-COMPOUND	4.00%	USD	80,000,000		09/18/2034		Annually		(611,750	)		(611,131	)		619
ZAR-JIBAR-SAFEX	10.04%	ZAR	517,900,000		03/20/2039		Quarterly		(734,754	)		(686,739	)		48,015
2.90%	EURIBOR	EUR	25,500,000		12/20/2053		Semi-Annually		255,170			(1,598,999	)		(1,854,169	)
3.70%	GBP-SONIA-COMPOUND	GBP	25,000,000		03/20/2054		Annually		(741,386	)		1,817,275			2,558,661
								$	(1,681,472	)	$	(3,374,975	)	$	(1,693,503	)

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Security is backed by U.S. Treasury Bonds.

(c) Investment valued using significant unobservable inputs.

(d) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

(e) Security is in default.

(f) Security is backed by the United States International Development Finance Corporation.

(g) The security is restricted as to resale.

(h) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(i) Affiliated company.

(j) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

(k) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic.

(l) The rate disclosed is the 7 day net yield as of May 31, 2024.

(m) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

The rates shown on variable rate notes are the current interest rates at May 31, 2024 which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

CDI - Certificado de Deposito Interbancario

CLICP - Chilean Average Chamber Index

EURIBOR - Euro Interbank Offered Rate

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OIS - Overnight Indexed Swaps

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at May 31, 2024.

THOR - Thai Overnight Repurchase Rate

TONA - Tokyo Overnight Average Rate

XLCA - Insured as to the payment of principal and interest by XL Capital Assurance.

ZAR JIBAR - Johannesburg Interbank Agreed Rate denominated in South African Rand.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

BRL - Brazilian Real

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

THB - Thai Baht

TRY - Turkish Lira

USD - United States Dollar

UYU - Uruguay Peso

ZAR - South African Rand

 

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			DEBT OBLIGATIONS — 43.4%
			Corporate Debt — 19.8%
			Australia — 0.2%
		300,000	FMG Resources August 2006 Pty. Ltd., 144A, 5.88%, due 04/15/30		290,991
			Canada — 0.8%
		350,000	Enerflex Ltd., 144A, 9.00%, due 10/15/27		357,722
		300,000	goeasy Ltd., 144A, 9.25%, due 12/01/28		317,655
		350,000	Parkland Corp., 144A, 4.63%, due 05/01/30		318,121
		250,000	Videotron Ltd., 144A, 3.63%, due 06/15/29		225,868
			Total Canada		1,219,366
			United Kingdom — 0.4%
		400,000	Jaguar Land Rover Automotive PLC, 144A, 4.50%, due 10/01/27		377,257
		300,000	Rolls-Royce PLC, 144A, 3.63%, due 10/14/25		289,512
			Total United Kingdom		666,769
			United States — 18.4%
		400,000	Advance Auto Parts, Inc., 3.90%, due 04/15/30		359,558
		300,000	AECOM, 5.13%, due 03/15/27		292,086
		400,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.75%, due 04/20/29		386,826
		400,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 6.63%, due 02/01/32		400,518
		400,000	APX Group, Inc., 144A, 6.75%, due 02/15/27		398,538
		300,000	Arcosa, Inc., 144A, 4.38%, due 04/15/29		277,876
		350,000	ASGN, Inc., 144A, 4.63%, due 05/15/28		329,187
		450,000	Ashland, Inc., 144A, 3.38%, due 09/01/31		377,737
		250,000	Avantor Funding, Inc., 144A, 3.88%, due 11/01/29		224,061
		300,000	Ball Corp., 6.00%, due 06/15/29		300,488
		300,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		302,566
		450,000	Block, Inc., 3.50%, due 06/01/31		385,449
		350,000	Boise Cascade Co., 144A, 4.88%, due 07/01/30		323,330
		350,000	Brandywine Operating Partnership LP, REIT, 8.88%, due 04/12/29		362,236
		350,000	Bread Financial Holdings, Inc., 144A, 9.75%, due 03/15/29		366,604
		350,000	Builders FirstSource, Inc., 144A, 6.38%, due 06/15/32		348,701
		350,000	BWX Technologies, Inc., 144A, 4.13%, due 06/30/28		322,518
		300,000	CNX Resources Corp., 144A, 6.00%, due 01/15/29		292,733
		350,000	Crowdstrike Holdings, Inc., 3.00%, due 02/15/29		310,782
		250,000	CTR Partnership LP/CareTrust Capital Corp., 144A, REIT, 3.88%, due 06/30/28		229,260
		250,000	Delek Logistics Partners LP/Delek Logistics Finance Corp., 144A, 8.63%, due 03/15/29		255,634

	Par Value†		Description	Value ($)
			Corporate Debt — continued
			United States — continued
		350,000	Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 144A, 5.88%, due 08/15/27		328,654
		350,000	DT Midstream, Inc., 144A, 4.13%, due 06/15/29		320,058
		400,000	Dycom Industries, Inc., 144A, 4.50%, due 04/15/29		371,631
		300,000	EnLink Midstream LLC, 144A, 5.63%, due 01/15/28		296,378
		400,000	Entegris, Inc., 144A, 4.38%, due 04/15/28		374,168
		300,000	EQM Midstream Partners LP, 144A, 7.50%, due 06/01/30		316,831
		350,000	Esab Corp., 144A, 6.25%, due 04/15/29		350,802
		300,000	Fair Isaac Corp., 144A, 5.25%, due 05/15/26		296,461
		350,000	Fluor Corp., 4.25%, due 09/15/28		330,264
		300,000	Fortrea Holdings, Inc., 144A, 7.50%, due 07/01/30		299,849
		350,000	Fortress Transportation & Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28		338,276
		250,000	Gartner, Inc., 144A, 3.63%, due 06/15/29		225,916
		350,000	HAT Holdings I LLC/HAT Holdings II LLC, 144A, 3.38%, due 06/15/26		328,913
		350,000	Hess Midstream Operations LP, 144A, 4.25%, due 02/15/30		318,127
		400,000	Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29		362,463
		350,000	Howard Hughes Corp., 144A, 4.13%, due 02/01/29		310,961
		350,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		315,557
		400,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, due 05/15/27		366,983
		375,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		337,982
		350,000	Jefferies Finance LLC/JFIN Co.-Issuer Corp., 144A, 5.00%, due 08/15/28		321,762
		400,000	Kaiser Aluminum Corp., 144A, 4.50%, due 06/01/31		353,912
		450,000	Kohl’s Corp., 4.63%, due 05/01/31		362,893
		250,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29		225,934
		250,000	Lamar Media Corp., 4.00%, due 02/15/30		224,851
		350,000	Levi Strauss & Co., 144A, 3.50%, due 03/01/31		302,522
		300,000	M/I Homes, Inc., 4.95%, due 02/01/28		285,255
		400,000	Macy’s Retail Holdings LLC, 144A, 6.13%, due 03/15/32		380,564
		350,000	Moog, Inc., 144A, 4.25%, due 12/15/27		327,710
		400,000	Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29		364,924
		225,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		195,239
		300,000	Newmark Group, Inc., 144A, 7.50%, due 01/12/29		306,361
		350,000	News Corp., 144A, 3.88%, due 05/15/29		317,591
		350,000	NextEra Energy Operating Partners LP, 144A, 4.50%, due 09/15/27		329,340

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			Corporate Debt — continued
			United States — continued
		450,000	Nordstrom, Inc., 4.38%, due 04/01/30		409,159
		250,000	Novelis Corp., 144A, 4.75%, due 01/30/30		230,979
		350,000	NRG Energy, Inc., 144A, 3.63%, due 02/15/31		299,916
		300,000	NuStar Logistics LP, 6.38%, due 10/01/30		299,090
		400,000	OneMain Finance Corp., 3.50%, due 01/15/27		369,958
		350,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 7.38%, due 02/15/31		361,709
		400,000	Phinia, Inc., 144A, 6.75%, due 04/15/29		402,920
		350,000	RingCentral, Inc., 144A, 8.50%, due 08/15/30		366,255
		300,000	Royal Caribbean Cruises Ltd., 144A, 9.25%, due 01/15/29		319,555
		350,000	Sagicor Financial Co. Ltd., 144A, 5.30%, due 05/13/28		335,310
		400,000	Seagate HDD Cayman, 5.75%, due 12/01/34		378,276
		400,000	Sensata Technologies, Inc., 144A, 4.38%, due 02/15/30		364,872
		400,000	Sirius XM Radio, Inc., 144A, 4.00%, due 07/15/28		358,065
		400,000	SLM Corp., 3.13%, due 11/02/26		370,663
		350,000	Spirit AeroSystems, Inc., 144A, 9.38%, due 11/30/29		375,467
		400,000	Stericycle, Inc., 144A, 3.88%, due 01/15/29		363,186
		350,000	Summit Materials LLC/Summit Materials Finance Corp., 144A, 7.25%, due 01/15/31		360,885
		300,000	Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30		321,765
		300,000	Taylor Morrison Communities, Inc., 144A, 5.75%, due 01/15/28		295,341
		350,000	Tempur Sealy International, Inc., 144A, 4.00%, due 04/15/29		313,854
		400,000	Tenet Healthcare Corp., 4.63%, due 06/15/28		380,141
		350,000	TopBuild Corp., 144A, 4.13%, due 02/15/32		305,371
		400,000	Uber Technologies, Inc., 144A, 4.50%, due 08/15/29		377,092
		350,000	United Rentals North America, Inc., 3.75%, due 01/15/32		299,193
		300,000	Viper Energy, Inc., 144A, 7.38%, due 11/01/31		309,871
		300,000	Vistra Operations Co. LLC, 144A, 7.75%, due 10/15/31		311,722
		300,000	Vornado Realty LP, REIT, 3.50%, due 01/15/25		294,345
		300,000	Western Digital Corp., 4.75%, due 02/15/26		293,520
		350,000	Wyndham Hotels & Resorts, Inc., 144A, 4.38%, due 08/15/28		324,683
		350,000	Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 144A, 7.13%, due 02/15/31		359,375
		350,000	XPO, Inc., 144A, 7.13%, due 06/01/31		357,120
		200,000	Yum! Brands, Inc., 144A, 4.75%, due 01/15/30		188,556
			Total United States		28,034,034
			Total Corporate Debt		30,211,160

	Par Value† / Shares		Description	Value ($)
			U.S. Government — 23.6%
		3,175,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		3,178,462
		180,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25 (a)		180,096
		11,695,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (a)		11,720,698
		21,018,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (a)		21,027,752
			Total U.S. Government		36,107,008
			TOTAL DEBT OBLIGATIONS (COST $65,999,398)		66,318,168
			SHORT-TERM INVESTMENTS — 54.9%
			Repurchase Agreements — 32.1%
		48,999,265	Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $49,020,947 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $50,151,033.		48,999,265
			Sovereign and Sovereign Agency Issuers — 22.2%
JPY		1,532,000,000	Japan Treasury Discount Bills, Zero Coupon, due 06/24/24		9,741,380
JPY		1,769,000,000	Japan Treasury Discount Bills, Zero Coupon, due 07/16/24		11,248,026
JPY		2,029,000,000	Japan Treasury Discount Bills, Zero Coupon, due 07/22/24		12,901,080
			Total Sovereign and Sovereign Agency Issuers		33,890,486
			Money Market Funds — 0.6%
		977,561	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b)		977,561
			TOTAL SHORT-TERM INVESTMENTS (COST $85,159,686)		83,867,312
			TOTAL INVESTMENTS — 98.3% (Cost $151,159,084)		150,185,480
			Other Assets and Liabilities (net) — 1.7%		2,626,129
			TOTAL NET ASSETS — 100.0%		$152,811,609

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/22/2024	DB	JPY	2,029,000,000		USD	13,464,495		468,633
06/24/2024	MSCI	JPY	1,532,000,000		USD	10,455,441		684,347
07/16/2024	MSCI	JPY	1,769,000,000		USD	11,857,371		537,020
							$	1,690,000

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
29	U.S. Treasury Note 10 Yr. (CBT)		September 2024		3,155,109		5,293
20	U.S. Treasury Note 2 Yr. (CBT)		September 2024		4,074,063		(4,591	)
75	U.S. Treasury Note 5 Yr. (CBT)		September 2024		7,934,766		(19,956	)
				$	15,163,938	$	(19,254	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection^:

CDX.NA.HY.S42.V1

USD

21,330,000

5.00%

3.36%

21,330,000

USD

06/20/2029

Quarterly

$

1,386,715

$

1,440,202

$

53,487

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	27,764,000		06/20/2024		Quarterly		(117	)		1,223,972			1,224,089
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	9,157,000		06/20/2024		Quarterly		(25	)		240,869			240,894
SOFR	Total Return on iBoxx USD Liquid High Yield Index	BCLY		USD	15,150,000		09/20/2024		Quarterly		(25	)		(49,219	)		(49,194	)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	44,867,000		09/20/2024		Quarterly		177			416,717			416,540
										$	10		$	1,832,339		$	1,832,329

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

REIT - Real Estate Investment Trust

SOFR - Secured Overnight Financing Rate

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			DEBT OBLIGATIONS — 40.8%
			Canada — 0.3%
			Corporate Debt — 0.3%
		100,000	CI Financial Corp., 3.20%, due 12/17/30		78,295
		200,000	CI Financial Corp., 4.10%, due 06/15/51		125,826
			Total Canada		204,121
			Germany — 0.2%
			Corporate Debt — 0.2%
		150,000	Deutsche Bank AG, Variable Rate, 6.72%, due 01/18/29		154,885
			Ireland — 0.4%
			Corporate Debt — 0.4%
		150,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, due 07/21/27		141,890
		150,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32		127,765
			Total Ireland		269,655
			Japan — 1.1%
			Corporate Debt — 1.1%
		250,000	Mitsubishi UFJ Financial Group, Inc., 3.85%, due 03/01/26		243,608
		200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 5.48%, due 02/22/31		200,919
		250,000	Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29		238,954
		200,000	Mizuho Financial Group, Inc., Variable Rate, 5.75%, due 05/27/34		202,785
			Total Japan		886,266
			Mexico — 0.2%
			Corporate Debt — 0.2%
		150,000	Southern Copper Corp., 5.88%, due 04/23/45		148,212
			United Kingdom — 0.8%
			Corporate Debt — 0.8%
		200,000	HSBC Holdings PLC, Variable Rate, 4.58%, due 06/19/29		193,057
		500,000	HSBC Holdings PLC, Variable Rate, 3.97%, due 05/22/30		465,506
			Total United Kingdom		658,563
			United States — 37.8%
			Corporate Debt — 18.7%
		200,000	Allstate Corp., 4.20%, due 12/15/46		161,035
		100,000	Ally Financial, Inc., Variable Rate, 6.99%, due 06/13/29		103,348
		150,000	Ally Financial, Inc., Variable Rate, 6.85%, due 01/03/30		153,883
		200,000	Altria Group, Inc., 3.40%, due 02/04/41		143,240
		200,000	Amazon.com, Inc., 3.30%, due 04/13/27		191,418

	Par Value†		Description	Value ($)
			United States — continued
			Corporate Debt — continued
		150,000	Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28		143,188
		150,000	Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34		161,551
		200,000	Block Financial LLC, 3.88%, due 08/15/30		181,340
		150,000	Booking Holdings, Inc., 3.60%, due 06/01/26		145,532
		200,000	Booking Holdings, Inc., 4.63%, due 04/13/30		195,226
		150,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		128,186
		300,000	Broadcom, Inc., 144A, 3.19%, due 11/15/36		235,466
		150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		139,621
		150,000	Capital One Financial Corp., Variable Rate, 5.82%, due 02/01/34		147,972
		150,000	Carlisle Cos., Inc., 3.75%, due 12/01/27		142,355
		150,000	Carlisle Cos., Inc., 2.75%, due 03/01/30		130,657
		150,000	CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29		135,067
		250,000	Cencora, Inc., 3.25%, due 03/01/25		245,725
		100,000	Charles Schwab Corp., Variable Rate, 5.85%, due 05/19/34		101,572
		150,000	Charles Schwab Corp., Variable Rate, 6.14%, due 08/24/34		155,137
		63,000	Cigna Group, 1.25%, due 03/15/26		58,602
		150,000	Cigna Group, 4.80%, due 07/15/46		132,219
		200,000	Cigna Group, 3.88%, due 10/15/47		151,315
		150,000	Columbia Pipeline Group, Inc., 5.80%, due 06/01/45		147,342
		150,000	Comerica, Inc., 4.00%, due 02/01/29		137,573
		150,000	Corebridge Financial, Inc., 144A, 6.05%, due 09/15/33		153,357
		100,000	Dick’s Sporting Goods, Inc., 3.15%, due 01/15/32		84,273
		100,000	Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52		70,945
		150,000	Eli Lilly & Co., 4.15%, due 03/15/59		121,369
		200,000	Enstar Group Ltd., 4.95%, due 06/01/29		190,943
		100,000	Fidelity National Information Services, Inc., 1.15%, due 03/01/26		92,789
		100,000	Fidelity National Information Services, Inc., 1.65%, due 03/01/28		87,769
		150,000	Fidelity National Information Services, Inc., 3.10%, due 03/01/41		106,951
		100,000	Fifth Third Bancorp, Variable Rate, 5.63%, due 01/29/32		99,099
		200,000	Fortune Brands Innovations, Inc., 5.88%, due 06/01/33		201,457
		150,000	FS KKR Capital Corp., 3.40%, due 01/15/26		142,693
		300,000	FS KKR Capital Corp., 3.13%, due 10/12/28		260,485
		250,000	GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35		229,860
		100,000	General Motors Co., 6.60%, due 04/01/36		104,736
		150,000	General Motors Co., 6.25%, due 10/02/43		149,556
		100,000	General Motors Co., 6.75%, due 04/01/46		105,032
		150,000	Hasbro, Inc., 3.55%, due 11/19/26		142,851
		150,000	Hasbro, Inc., 3.90%, due 11/19/29		137,385
		150,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		135,239

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			United States — continued
			Corporate Debt — continued
		100,000	Illumina, Inc., 5.80%, due 12/12/25		100,035
		150,000	International Flavors & Fragrances, Inc., 5.00%, due 09/26/48		127,392
		150,000	Jacobs Engineering Group, Inc., 6.35%, due 08/18/28		153,876
		150,000	JPMorgan Chase & Co., .Variable Rate, 4.91%, due 07/25/33		145,367
		150,000	KeyCorp, 2.25%, due 04/06/27		135,744
		150,000	KeyCorp, 4.10%, due 04/30/28		140,986
		150,000	KeyCorp, Variable Rate, 4.79%, due 06/01/33		136,597
		300,000	Kyndryl Holdings, Inc., 3.15%, due 10/15/31		251,941
		100,000	Lazard Group LLC, 4.50%, due 09/19/28		96,597
		100,000	Leidos, Inc., 4.38%, due 05/15/30		94,056
		150,000	Lennox International, Inc., 5.50%, due 09/15/28		150,488
		100,000	Lowe’s Cos., Inc., 4.45%, due 04/01/62		77,608
		150,000	Lowe’s Cos., Inc., 5.85%, due 04/01/63		146,716
		200,000	Marriott International, Inc., 2.75%, due 10/15/33		160,328
		150,000	Merck & Co., Inc., 5.15%, due 05/17/63		141,623
		150,000	Meta Platforms, Inc., 3.85%, due 08/15/32		138,562
		250,000	Meta Platforms, Inc., 4.65%, due 08/15/62		213,738
		150,000	Micron Technology, Inc., 6.75%, due 11/01/29		159,144
		150,000	Micron Technology, Inc., 5.88%, due 02/09/33		153,570
		100,000	Micron Technology, Inc., 5.88%, due 09/15/33		102,436
		150,000	MPLX LP, 5.20%, due 03/01/47		134,802
		250,000	MPLX LP, 5.50%, due 02/15/49		231,360
		100,000	Mylan, Inc., 5.20%, due 04/15/48		80,569
		100,000	Netflix, Inc., 4.38%, due 11/15/26		98,127
		100,000	Netflix, Inc., 4.88%, due 04/15/28		99,127
		200,000	NVIDIA Corp., 3.50%, due 04/01/50		153,098
		200,000	Omega Healthcare Investors, Inc., REIT, 3.38%, due 02/01/31		170,177
		150,000	Omega Healthcare Investors, Inc., REIT, 3.25%, due 04/15/33		120,181
		150,000	ONEOK, Inc., 6.63%, due 09/01/53		160,407
		150,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		139,736
		150,000	Pacific Gas & Electric Co., 4.75%, due 02/15/44		124,519
		150,000	PacifiCorp, 5.35%, due 12/01/53		134,398
		150,000	PacifiCorp, 5.80%, due 01/15/55		142,805
		150,000	Piedmont Operating Partnership LP, 9.25%, due 07/20/28		160,133
		150,000	Pilgrim’s Pride Corp., 6.25%, due 07/01/33		151,572
		200,000	Pilgrim’s Pride Corp., 6.88%, due 05/15/34		211,181
		150,000	Plains All American Pipeline LP/PAA Finance Corp., 4.70%, due 06/15/44		124,283
		150,000	Plains All American Pipeline LP/PAA Finance Corp., 4.90%, due 02/15/45		127,417
		150,000	PNC Financial Services Group, Inc., Variable Rate, 6.88%, due 10/20/34		162,571
		150,000	Progressive Corp., 4.13%, due 04/15/47		123,568
		150,000	RTX Corp., 4.45%, due 11/16/38		132,480
		150,000	RTX Corp., 4.88%, due 10/15/40		136,885

	Par Value†		Description	Value ($)
			United States — continued
			Corporate Debt — continued
		250,000	Sabra Health Care LP, REIT, 3.20%, due 12/01/31		206,019
		150,000	Simon Property Group LP, REIT, 5.85%, due 03/08/53		149,111
		100,000	Synchrony Financial, 5.15%, due 03/19/29		95,820
		100,000	TC PipeLines LP, 3.90%, due 05/25/27		95,620
		100,000	Tyson Foods, Inc., 4.55%, due 06/02/47		80,605
		350,000	Union Pacific Corp., 3.80%, due 04/06/71		246,781
		150,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		122,895
		200,000	Verisk Analytics, Inc., 4.00%, due 06/15/25		196,490
		100,000	VMware LLC, 1.40%, due 08/15/26		91,582
		150,000	VMware LLC, 4.65%, due 05/15/27		147,123
		150,000	VMware LLC, 3.90%, due 08/21/27		143,356
		300,000	Vontier Corp., 2.95%, due 04/01/31		246,521
		150,000	Vulcan Materials Co., 3.50%, due 06/01/30		136,087
		150,000	Westinghouse Air Brake Technologies Corp., 5.61%, due 03/11/34		150,458
		100,000	WRKCo, Inc., 4.65%, due 03/15/26		98,448
		150,000	WRKCo, Inc., 4.00%, due 03/15/28		143,324
					14,681,799
			U.S. Government — 2.6%
		450,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24		449,972
		1,100,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (a)		1,102,417
		500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (a)		500,232
					2,052,621
			U.S. Government Agency — 16.5%
		2,700,000	Government National Mortgage Association, TBA, 3.50%, due 06/20/54		2,409,276
		9,500,000	Uniform Mortgage-Backed Security, TBA, 3.00%, due 06/01/54		7,987,330
		900,000	Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/54		726,614
		300,000	Uniform Mortgage-Backed Security, TBA, 2.00%, due 06/01/54		231,394
		800,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/54		787,023
		800,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/54		801,099
					12,942,736
			Total United States		29,677,156
			TOTAL DEBT OBLIGATIONS (COST $32,156,468)		31,998,858

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value† / Shares		Description	Value ($)
		MUTUAL FUNDS — 23.3%
		United States — 23.3%
		Affiliated Issuers — 23.3%
	196,141	GMO Emerging Country Debt Fund, Class VI		3,850,243
	602,517	GMO Opportunistic Income Fund, Class VI		14,472,453
		TOTAL MUTUAL FUNDS (COST $21,061,149)		18,322,696
		COMMON STOCKS — 14.6%
		United States — 14.6%
	65,000	Amazon.com, Inc.*		11,468,600
		TOTAL COMMON STOCKS (COST $10,097,100)		11,468,600
		SHORT-TERM INVESTMENTS — 35.2%
		Repurchase Agreements — 23.0%
	17,999,782	Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $18,007,747 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $18,422,882.		17,999,782

	Par Value† / Shares		Description	Value ($)
			Money Market Funds — 0.4%
		328,840	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b)		328,840
			Sovereign and Sovereign Agency Issuers — 11.8%
JPY		1,455,000,000	Japan Treasury Discount Bills, Zero Coupon, due 07/01/24		9,251,683
			TOTAL SHORT-TERM INVESTMENTS (COST $27,937,322)		27,580,305
			TOTAL INVESTMENTS — 113.9% (Cost $91,252,039)		89,370,459
			Other Assets and Liabilities (net) — (13.9%)		(10,900,056	)
			TOTAL NET ASSETS — 100.0%		$78,470,403

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/04/2024	MSCI	BRL	963,667		USD	185,510		1,985
08/23/2024	GS	CLP	40,000,000		USD	44,450		907
08/23/2024	MSCI	CLP	30,000,000		USD	33,020		364
07/29/2024	SSB	IDR	505,959,000		USD	31,112		42
08/09/2024	CITI	ILS	236,203		USD	64,149		220
08/06/2024	MSCI	INR	2,000,000		USD	24,007		85
08/06/2024	SSB	INR	4,000,000		USD	47,905		61
07/01/2024	BBH	JPY	1,455,000,000		USD	9,768,805		478,864
07/24/2024	GS	JPY	85,000,000		USD	546,821		2,227
07/24/2024	MSCI	JPY	28,000,000		USD	180,188		792
08/23/2024	SSB	KRW	100,000,000		USD	73,337		715
07/16/2024	BOA	NOK	1,700,000		USD	162,458		328
06/25/2024	MSCI	PEN	360,000		USD	97,160		551
07/29/2024	CITI	PHP	1,500,000		USD	25,634		21
08/20/2024	JPM	PLN	400,000		USD	101,776		331
07/24/2024	CITI	SGD	120,000		USD	89,102		79
07/24/2024	MSCI	SGD	40,000		USD	29,682		7
08/20/2024	BCLY	THB	9,022,300		USD	251,171		4,429
08/20/2024	MSCI	THB	1,200,000		USD	33,399		582
08/20/2024	SSB	THB	1,200,000		USD	33,097		280
07/24/2024	GS	TWD	1,200,000		USD	37,553		581
07/24/2024	SSB	TWD	5,400,000		USD	167,530		1,156
06/11/2024	CITI	USD	72,964		AUD	110,000		240
06/11/2024	SSB	USD	297,408		AUD	450,000		2,059
06/28/2024	MSCI	USD	270,397		CAD	370,000		1,207
06/28/2024	SSB	USD	885,468		CAD	1,207,182		684

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/12/2024	DB	USD	721,313		CHF	650,000		2,149
07/16/2024	BOA	USD	42,514		CZK	1,000,000		1,451
07/16/2024	BBH	USD	42,095		CZK	1,000,000		1,871
07/16/2024	MSCI	USD	50,703		CZK	1,200,000		2,056
07/31/2024	CITI	USD	249,660		EUR	230,000		543
07/31/2024	MSCI	USD	206,358		EUR	190,000		332
07/16/2024	BCLY	USD	374,832		GBP	300,000		7,522
07/16/2024	SSB	USD	215,866		GBP	170,000		802
08/09/2024	MSCI	USD	40,505		ILS	150,000		93
08/06/2024	BCLY	USD	100,548		INR	8,420,556		173
07/16/2024	BOA	USD	109,315		NOK	1,200,000		5,130
07/16/2024	CITI	USD	1,774,857		NOK	19,285,429		64,406
08/30/2024	CITI	USD	281,430		NZD	460,000		1,319
06/25/2024	CITI	USD	21,302		PEN	80,000		167
06/25/2024	GS	USD	74,672		PEN	280,000		468
07/25/2024	DB	USD	21,783		RON	100,000		4
07/10/2024	BCLY	USD	871,054		SEK	9,402,650		23,994
07/10/2024	GS	USD	66,086		SEK	700,000		547
07/24/2024	SSB	USD	46,181		TWD	1,500,000		34
06/28/2024	BOA	USD	31,569		ZAR	600,000		309
06/28/2024	MSCI	USD	10,484		ZAR	200,000		142
06/11/2024	CITI	AUD	910,000		USD	603,858		(1,732	)
06/28/2024	BCLY	CAD	980,000		USD	715,914		(3,471	)
07/12/2024	DB	CHF	170,000		USD	188,558		(655	)
07/12/2024	MSCI	CHF	2,203,976		USD	2,443,022		(10,043	)
08/23/2024	GS	COP	120,000,000		USD	30,570		(93	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/16/2024	CITI	CZK	600,000		USD	26,344		(36	)
07/16/2024	GS	CZK	3,042,868		USD	127,932		(5,849	)
07/31/2024	MSCI	EUR	1,740,000		USD	1,869,969		(22,876	)
07/16/2024	CITI	GBP	240,000		USD	301,645		(4,238	)
06/14/2024	DB	HUF	25,230,100		USD	70,209		(14	)
08/06/2024	MSCI	INR	2,000,000		USD	23,885		(38	)
07/16/2024	BOA	NOK	1,300,000		USD	123,579		(403	)
07/16/2024	CITI	NOK	2,400,000		USD	224,565		(4,325	)
08/30/2024	SSB	NZD	2,310,000		USD	1,416,714		(3,177	)
08/20/2024	CITI	PLN	50,000		USD	12,639		(42	)
07/25/2024	BCLY	RON	1,231,041		USD	264,441		(3,763	)
07/25/2024	CITI	RON	250,000		USD	54,363		(104	)
07/10/2024	BOA	SEK	2,000,000		USD	190,192		(190	)
07/24/2024	CITI	SGD	50,000		USD	36,831		(262	)
07/24/2024	SSB	SGD	320,686		USD	236,786		(1,115	)
08/20/2024	MSCI	THB	3,000,000		USD	82,038		(6	)
07/24/2024	CITI	TWD	7,545,600		USD	232,232		(246	)
06/04/2024	MSCI	USD	192,119		BRL	963,667		(8,594	)
08/02/2024	MSCI	USD	184,367		BRL	963,667		(1,868	)
08/02/2024	SSB	USD	38,168		BRL	200,000		(292	)
08/23/2024	MSCI	USD	192,046		CLP	170,271,500		(6,695	)
08/23/2024	GS	USD	10,222		COP	40,000,000		(1	)
08/23/2024	MSCI	USD	178,882		COP	693,658,000		(1,632	)
07/31/2024	CITI	USD	348,509		EUR	320,000		(399	)
07/16/2024	BCLY	USD	332,701		GBP	260,000		(1,327	)
06/14/2024	CITI	USD	55,880		HUF	20,000,000		(214	)
07/29/2024	CITI	USD	24,687		IDR	400,000,000		(123	)
07/29/2024	SSB	USD	49,498		IDR	800,000,000		(371	)
08/09/2024	CITI	USD	27,359		ILS	100,000		(294	)
08/09/2024	MSCI	USD	109,089		ILS	400,000		(829	)
07/24/2024	DB	USD	241,282		JPY	37,000,000		(4,224	)
07/24/2024	MSCI	USD	2,266,312		JPY	345,902,084		(50,124	)
08/23/2024	CITI	USD	11,600		KRW	15,778,325		(141	)
07/16/2024	DB	USD	70,290		MXN	1,200,000		(28	)
07/16/2024	JPM	USD	320,816		MXN	5,419,101		(3,520	)
06/25/2024	BCLY	USD	32,515		PEN	120,000		(313	)
06/25/2024	GS	USD	43,271		PEN	160,000		(334	)
06/25/2024	JPM	USD	21,548		PEN	80,000		(79	)
06/25/2024	MSCI	USD	21,547		PEN	80,000		(78	)
07/29/2024	CITI	USD	25,945		PHP	1,500,000		(333	)
08/20/2024	CITI	USD	38,201		PLN	150,000		(159	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/20/2024	MSCI	USD	25,433		PLN	100,000		(72	)
07/25/2024	DB	USD	32,698		RON	150,000		(18	)
07/24/2024	MSCI	USD	27,887		TWD	900,000		(158	)
06/28/2024	BOA	USD	86,361		ZAR	1,600,000		(1,354	)
06/28/2024	CITI	USD	54,213		ZAR	1,000,000		(1,084	)
06/28/2024	MSCI	USD	65,235		ZAR	1,200,000		(1,480	)
06/28/2024	SSB	USD	76,548		ZAR	1,400,000		(2,167	)
06/28/2024	BNYM	ZAR	600,000		USD	31,442		(436	)
							$	460,890

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
39	U.S. Long Bond (CBT)		September 2024		4,526,437		(36,429	)
42	U.S. Treasury Note 10 Yr. (CBT)		September 2024		4,569,469		7,721
31	U.S. Treasury Note 2 Yr. (CBT)		September 2024		6,314,797		(7,116	)
92	U.S. Treasury Note 5 Yr. (CBT)		September 2024		9,733,312		(24,479	)
17	U.S. Treasury Ultra 10 Yr. (CBT)		September 2024		1,904,531		(6,402	)
29	U.S. Ultra Bond (CBT)		September 2024		3,550,688		(24,512	)
				$	30,599,234	$	(91,217	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.IG.S42	USD	4,000,000		1.00%		0.50%		N/A		06/20/2029		Quarterly	$	(91,822	)	$	(89,476	)	$	2,346

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

⁽¹⁾ As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.91%	3 Month AUD BBSW	AUD	2,500,000		06/19/2026	Quarterly		—			10,904			10,904
3.92%	3 Month AUD BBSW	AUD	5,000,000		06/19/2026	Quarterly		96			21,460			21,364
3.84%	3 Month AUD BBSW	AUD	2,000,000		06/19/2026	Quarterly		(21	)		10,517			10,538
3 Month AUD BBSW	4.27%	AUD	1,500,000		06/19/2026	Quarterly		—			270			270
CAD-CORRA-OIS-COMPOUND	3.91%	CAD	5,000,000		06/19/2026	Annually		(3,366	)		(15,805	)		(12,439	)
3.94%	CAD-CORRA-OIS-COMPOUND	CAD	1,500,000		06/19/2026	Annually		—			4,044			4,044
4.25%	CAD-CORRA-OIS-COMPOUND	CAD	2,500,000		06/19/2026	Annually		—			(3,898	)		(3,898	)
CHF-SARON-OIS-COMPOUND	0.99%	CHF	10,000,000		06/19/2026	Annually		(1,442	)		(60,020	)		(58,578	)
CHF-SARON-OIS-COMPOUND	1.02%	CHF	2,000,000		06/19/2026	Annually		(207	)		(10,577	)		(10,370	)
0.99%	CHF-SARON-OIS-COMPOUND	CHF	1,000,000		06/19/2026	Annually		324			6,066			5,742
1.30%	CHF-SARON-OIS-COMPOUND	CHF	1,000,000		06/19/2026	Annually		—			(851	)		(851	)
EUR-EuroSTR-COMPOUND	3.16%	EUR	2,000,000		06/19/2026	Annually		—			(1,275	)		(1,275	)
2.76%	EUR-EuroSTR-COMPOUND	EUR	4,000,000		06/19/2026	Annually		(463	)		36,170			36,633
GBP-SONIA-COMPOUND	4.15%	GBP	2,000,000		06/19/2026	Annually		—			(25,956	)		(25,956	)
GBP-SONIA-COMPOUND	4.38%	GBP	1,500,000		06/19/2026	Annually		(1,634	)		(11,502	)		(9,868	)
GBP-SONIA-COMPOUND	4.59%	GBP	1,000,000		06/19/2026	Annually		—			(2,504	)		(2,504	)
4.27%	GBP-SONIA-COMPOUND	GBP	1,000,000		06/19/2026	Annually		289			10,078			9,789
4.67%	GBP-SONIA-COMPOUND	GBP	2,000,000		06/19/2026	Annually		—			1,265			1,265
4.73%	GBP-SONIA-COMPOUND	GBP	500,000		06/19/2026	Annually		—			(324	)		(324	)
4.70%	3 Month NZD Bank Bill Rate	NZD	2,500,000		06/19/2026	Quarterly		—			10,711			10,711
4.79%	3 Month NZD Bank Bill Rate	NZD	3,000,000		06/19/2026	Quarterly		2,109			9,582			7,473
4.93%	3 Month NZD Bank Bill Rate	NZD	2,500,000		06/19/2026	Quarterly		—			4,004			4,004
3 Month NZD Bank Bill Rate	5.10%	NZD	2,000,000		06/19/2026	Quarterly		—			539			539
3.27%	3 Month SEK STIBOR	SEK	15,000,000		06/19/2026	Quarterly		—			(548	)		(548	)
3 Month SEK STIBOR	3.05%	SEK	30,000,000		06/19/2026	Quarterly		(310	)		(10,695	)		(10,385	)
3 Month SEK STIBOR	3.30%	SEK	10,000,000		06/19/2026	Quarterly		—			1,084			1,084
USD-SOFR-COMPOUND	4.52%	USD	500,000		06/20/2026	Annually		—			(2,359	)		(2,359	)
4.33%	USD-SOFR-COMPOUND	USD	1,500,000		06/20/2026	Annually		—			12,308			12,308
4.83%	USD-SOFR-COMPOUND	USD	500,000		06/20/2026	Annually		(216	)		(570	)		(354	)
6 Month AUD BBSW	4.23%	AUD	400,000		06/19/2034	Semi-annual		(97	)		(7,402	)		(7,305	)
6 Month AUD BBSW	4.28%	AUD	800,000		06/19/2034	Semi-annual		—			(12,692	)		(12,692	)
6 Month AUD BBSW	4.39%	AUD	6,400,000		06/19/2034	Semi-annual		1,547			(64,538	)		(66,085	)
6 Month AUD BBSW	4.39%	AUD	600,000		06/19/2034	Semi-annual		—			(6,054	)		(6,054	)
6 Month AUD BBSW	4.39%	AUD	1,200,000		06/19/2034	Semi-annual		505			(11,884	)		(12,389	)
4.28%	6 Month AUD BBSW	AUD	500,000		06/19/2034	Semi-annual		—			7,853			7,853
4.36%	6 Month AUD BBSW	AUD	400,000		06/19/2034	Semi-annual		—			4,600			4,600
4.75%	6 Month AUD BBSW	AUD	400,000		06/19/2034	Semi-annual		—			(3,705	)		(3,705	)
4.60%	6 Month AUD BBSW	AUD	3,000,000		06/19/2034	Semi-annual		—			(4,229	)		(4,229	)
4.60%	6 Month AUD BBSW	AUD	300,000		06/19/2034	Semi-annual		—			(415	)		(415	)
CAD-CORRA-OIS-COMPOUND	3.39%	CAD	1,100,000		06/19/2034	Annually		(2,554	)		(13,529	)		(10,975	)
CAD-CORRA-OIS-COMPOUND	3.42%	CAD	300,000		06/19/2034	Annually		—			(3,123	)		(3,123	)
CAD-CORRA-OIS-COMPOUND	3.63%	CAD	800,000		06/19/2034	Annually		—			2,006			2,006
CAD-CORRA-OIS-COMPOUND	3.77%	CAD	600,000		06/19/2034	Annually		—			6,587			6,587
3.40%	CAD-CORRA-OIS-COMPOUND	CAD	1,200,000		06/19/2034	Annually		2,003			13,955			11,952
3.66%	CAD-CORRA-OIS-COMPOUND	CAD	300,000		06/19/2034	Annually		—			(1,200	)		(1,200	)
3.75%	CAD-CORRA-OIS-COMPOUND	CAD	300,000		06/19/2034	Annually		—			(2,873	)		(2,873	)
3.60%	CAD-CORRA-OIS-COMPOUND	CAD	600,000		06/19/2034	Annually		—			(225	)		(225	)
3.69%	CAD-CORRA-OIS-COMPOUND	CAD	600,000		06/19/2034	Annually		—			(3,735	)		(3,735	)
CHF-SARON-OIS-COMPOUND	1.13%	CHF	200,000		06/19/2034	Annually		575			(4,112	)		(4,687	)
CHF-SARON-OIS-COMPOUND	1.35%	CHF	200,000		06/19/2034	Annually		—			405			405
1.19%	CHF-SARON-OIS-COMPOUND	CHF	2,050,000		06/19/2034	Annually		(9,632	)		29,894			39,526
1.18%	CHF-SARON-OIS-COMPOUND	CHF	400,000		06/19/2034	Annually		1,758			6,482			4,724
EUR-EuroSTR-COMPOUND	2.46%	EUR	800,000		06/19/2034	Annually		945			(21,681	)		(22,626	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
EUR-EuroSTR-COMPOUND	2.54%	EUR	300,000		06/19/2034	Annually		—			(5,999	)		(5,999	)
EUR-EuroSTR-COMPOUND	2.55%	EUR	500,000		06/19/2034	Annually		—			(9,432	)		(9,432	)
EUR-EuroSTR-COMPOUND	2.75%	EUR	1,100,000		06/19/2034	Annually		—			(437	)		(437	)
2.52%	EUR-EuroSTR-COMPOUND	EUR	800,000		06/19/2034	Annually		1,062			17,782			16,720
2.45%	EUR-EuroSTR-COMPOUND	EUR	200,000		06/19/2034	Annually		—			5,605			5,605
2.53%	EUR-EuroSTR-COMPOUND	EUR	400,000		06/19/2034	Annually		—			8,453			8,453
2.51%	EUR-EuroSTR-COMPOUND	EUR	600,000		06/19/2034	Annually		—			13,812			13,812
2.48%	EUR-EuroSTR-COMPOUND	EUR	600,000		06/19/2034	Annually		—			15,484			15,484
2.49%	EUR-EuroSTR-COMPOUND	EUR	200,000		06/19/2034	Annually		—			4,982			4,982
2.54%	EUR-EuroSTR-COMPOUND	EUR	300,000		06/19/2034	Annually		—			6,099			6,099
2.61%	EUR-EuroSTR-COMPOUND	EUR	400,000		06/19/2034	Annually		—			5,260			5,260
2.73%	EUR-EuroSTR-COMPOUND	EUR	400,000		06/19/2034	Annually		—			669			669
GBP-SONIA-COMPOUND	3.72%	GBP	200,000		06/19/2034	Annually		(604	)		(6,039	)		(5,435	)
GBP-SONIA-COMPOUND	3.93%	GBP	400,000		06/19/2034	Annually		—			(3,457	)		(3,457	)
GBP-SONIA-COMPOUND	4.06%	GBP	200,000		06/19/2034	Annually		—			896			896
3.80%	GBP-SONIA-COMPOUND	GBP	300,000		06/19/2034	Annually		329			6,653			6,324
3.61%	GBP-SONIA-COMPOUND	GBP	400,000		06/19/2034	Annually		—			16,541			16,541
3.96%	GBP-SONIA-COMPOUND	GBP	300,000		06/19/2034	Annually		—			1,808			1,808
4.05%	GBP-SONIA-COMPOUND	GBP	500,000		06/19/2034	Annually		—			(1,523	)		(1,523	)
4.64%	3 Month NZD Bank Bill Rate	NZD	600,000		06/19/2034	Quarterly		—			403			403
4.69%	3 Month NZD Bank Bill Rate	NZD	200,000		06/19/2034	Quarterly		—			(316	)		(316	)
4.69%	3 Month NZD Bank Bill Rate	NZD	500,000		06/19/2034	Quarterly		—			(790	)		(790	)
3 Month NZD Bank Bill Rate	4.46%	NZD	600,000		06/19/2034	Quarterly		—			(5,835	)		(5,835	)
3 Month NZD Bank Bill Rate	4.50%	NZD	300,000		06/19/2034	Quarterly		(215	)		(2,271	)		(2,056	)
3 Month NZD Bank Bill Rate	4.50%	NZD	700,000		06/19/2034	Quarterly		(434	)		(5,231	)		(4,797	)
3 Month NZD Bank Bill Rate	4.57%	NZD	500,000		06/19/2034	Quarterly		—			(1,975	)		(1,975	)
3 Month SEK STIBOR	2.85%	SEK	16,000,000		06/19/2034	Quarterly		—			2,505			2,505
3 Month SEK STIBOR	2.91%	SEK	3,000,000		06/19/2034	Quarterly		—			1,773			1,773
2.69%	3 Month SEK STIBOR	SEK	28,000,000		06/19/2034	Quarterly		(1,380	)		33,842			35,222
2.65%	3 Month SEK STIBOR	SEK	3,000,000		06/19/2034	Quarterly		—			4,450			4,450
2.89%	3 Month SEK STIBOR	SEK	2,000,000		06/19/2034	Quarterly		—			(928	)		(928	)
2.69%	3 Month SEK STIBOR	SEK	7,000,000		06/19/2034	Quarterly		(158	)		8,202			8,360
2.74%	3 Month SEK STIBOR	SEK	4,000,000		06/19/2034	Quarterly		—			2,916			2,916
USD-SOFR-COMPOUND	3.88%	USD	300,000		06/20/2034	Annually		—			(6,322	)		(6,322	)
USD-SOFR-COMPOUND	4.22%	USD	100,000		06/20/2034	Annually		228			668			440
3.98%	USD-SOFR-COMPOUND	USD	200,000		06/20/2034	Annually		—			2,534			2,534
4.22%	USD-SOFR-COMPOUND	USD	400,000		06/20/2034	Annually		(904	)		(2,725	)		(1,821	)
							$	(11,867	)	$	10,560		$	22,427

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Amazon.com, Inc.

1 Month Federal Funds Rate plus 0.62%

GS

USD

11,903,450

06/21/2024

At Maturity

$

—

$

434,850

$

434,850

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

BNYM - The Bank of New York Mellon

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 82.6%
		Asset-Backed Securities — 69.3%
		Auto Retail Subprime — 3.0%
	5,000,000	Bank of America Auto Trust, Series 2023-2A, Class A3, 144A, 5.74%, due 06/15/28		5,030,021
	3,000,000	BofA Auto Trust, Class A3, 5.35%, due 11/15/28		3,000,742
	7,500,000	GM Financial Consumer Automobile Receivables Trust, Series 21-3, Class A4, 0.73%, due 08/16/27		7,119,042
	6,000,000	GM Financial Consumer Automobile Receivables Trust, Series 2024-1, Class A3, 4.85%, due 12/18/28		5,945,607
	7,000,000	Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29		6,960,461
	7,000,000	Nissan Auto Receivables Owner Trust, Series 2023-B, Class A3, 5.93%, due 03/15/28		7,055,684
	6,000,000	World Omni Auto Receivables Trust, Class A3, 5.27%, due 09/17/29		5,998,137
		Total Auto Retail Subprime		41,109,694
		CMBS CDO — 0.0%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		467,937
	248,403	GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		176,366
		Total CMBS CDO		644,303
		Collateralized Loan Obligations — 11.6%
	3,564,699	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 01/20/30		3,570,937
	4,328,723	Generate CLO 4 Ltd., Series 4A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 6.68%, due 04/20/32		4,330,888
	6,554,995	Hayfin U.S. XII Ltd., Series 18-8A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 04/20/31		6,565,056
	25,458,276	Man GLG U.S. CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 6.73%, due 04/22/30		25,484,880
	1,670,000	Midocean Credit CLO VIII, Series 18-8A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.89%, due 02/20/31		1,670,194
	5,405,285	Mountain View CLO IX Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 07/15/31		5,414,745
	4,000,000	Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 7.23%, due 10/12/30		4,014,696
	5,240,433	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.65%, due 04/22/31		5,246,889
	18,325,000	OCP CLO Ltd., Series 14-6A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 6.47%, due 10/17/30		18,370,428

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	6,866,891	OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.09%, due 08/16/29		6,869,123
	1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		25,411
	9,448,175	OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 6.61%, due 04/15/31		9,464,813
	2,190,000	OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.08%, due 01/17/31		2,194,914
	984,455	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, U.S. (Fed) Prime Rate + 1.60%, 7.19%, due 06/22/30		986,203
	3,025,838	Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.69%, due 05/07/31		3,031,597
	2,517,426	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 6.59%, due 04/15/31		2,521,706
	1,273,590	Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 6.74%, due 04/18/31		1,277,092
	1,365,291	Steele Creek CLO Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.84%, due 10/15/30		1,368,862
	4,726,584	Steele Creek CLO Ltd., Series 14-1RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 6.66%, due 04/21/31		4,730,913
	7,640,856	Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 06/15/31		7,651,966
	476,470	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.74%, 7.06%, due 04/17/28		476,322
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.41%, 7.73%, due 04/17/28		4,321,084
	4,678,849	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.69%, due 07/18/31		4,687,009
	7,315,910	Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.49%, 6.82%, due 10/15/31		7,321,148
	1,833,000	Venture XVII CLO Ltd., Series 14-17A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.66%, 6.99%, due 04/15/27		1,833,216
	174,656	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.81%, due 10/15/29		174,766
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.09%, due 10/20/28		9,001,458
	1,040,172	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.65%, due 10/20/29		1,040,654

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	5,684,041	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.84%, due 10/15/31		5,687,809
	7,200,000	Zais CLO 15 Ltd., Series 20-15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.61%, 6.94%, due 07/28/32		7,207,207
	1,631,262	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.55%, 6.88%, due 04/15/30		1,632,541
	2,798,925	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.71%, 7.04%, due 04/15/29		2,797,419
		Total Collateralized Loan Obligations		160,971,946
		Commercial Mortgage-Backed Securities — 20.4%
	11,857,600	BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.24%, due 03/15/37		11,295,773
	11,037,000	BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		8,632,169
	5,499,017	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 07/25/36		4,804,675
	4,848,114	Benchmark Mortgage Trust, Series 18-B2, Class A5, Variable Rate, 3.88%, due 02/15/51		4,519,086
	7,760,120	Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52		7,247,346
	16,000,000	Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52		14,794,102
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,605,786
	3,244,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		3,095,554
	8,623,000	Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53		6,902,639
	13,880,000	Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55		11,458,122
	14,500,000	Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55		12,681,310
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		16,407,192
	5,832,491	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.77%, 6.08%, due 05/15/38		5,788,748
	5,583,620	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.28%, due 11/15/38		5,559,426
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,879,593
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		6,789,642
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		7,066,242

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,330,582
	4,570,000	BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 3.94%, due 12/09/41		4,006,400
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41		7,560,265
	4,446,000	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class B, Variable Rate, 4.18%, due 07/10/47		4,405,696
	9,352,535	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class C, Variable Rate, 4.35%, due 07/10/47		9,159,364
	3,031,837	COMM Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.28%, due 07/10/50		2,867,753
	15,999,667	COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		14,876,823
	33,025	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		32,331
	41,285	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.69%, due 04/15/37		40,377
	5,563,524	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.82%, 6.13%, due 11/15/38		5,518,320
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,618,894
	5,000,000	GS Mortgage Securities Corp. II, Series 23-SHIP, Class A, 144A, Variable Rate, 4.32%, due 09/10/38		4,849,368
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,582,016
	3,446,312	MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.23%, due 04/15/38		3,426,945
	4,889,023	MHC Trust, Series 21-MHC2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.28%, due 05/15/38		4,863,050
	14,600,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		11,791,015
	3,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		1,900,144
	7,130,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.19%, 7.50%, due 05/15/37		7,196,379
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		4,896,771
	8,008,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,536,201
	1,625,895	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,413,379

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 5.81%, due 11/23/43		4,469,345
	11,594,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 6.30%, due 03/23/45		10,051,303
	7,939,384	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		7,466,266
	2,030,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		1,815,354
	13,697,000	WFRBS Commercial Mortgage Trust, Series 14-C21, Class AS, 3.89%, due 08/15/47		13,202,553
		Total Commercial Mortgage-Backed Securities		283,404,299
		Residential Mortgage-Backed Securities — Agency — 0.3%
	5,008,036	Federal National Mortgage Association REMICS, Series 20-5, Class PC, 2.50%, due 01/25/50		4,156,318
		Residential Mortgage-Backed Securities — Other — 8.0%
	780,566	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 5.72%, due 02/25/36		90,720
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 02/25/36		326,938
	6,000,000	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		5,653,384
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		2,393,906
	3,392,774	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		3,191,691
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		851,012
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		310,478
	105,251	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 02/25/37		118,301
	1,854,153	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		1,840,906
	1,495,150	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		1,435,278
	5,535,329	Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33		5,399,050
	5,592,106	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,364,385
	4,909,681	Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33		4,704,525

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — — continued
	804,062	CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53		742,807
	6,490,822	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		5,952,409
	460,282	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 10/25/34		443,536
	1,497,098	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		1,413,060
	4,328,989	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.50%, due 09/25/35		78,176
	28,413,966	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.37%, 5.70%, due 06/25/36		506,263
	8,218,224	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		2,279,788
	8,862,290	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		1,351,552
	3,457,620	Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40		3,075,129
	3,559,469	MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 03/25/36		232,543
	128,218	Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.69%, due 02/26/34		116,197
	963,532	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 6.41%, due 10/25/33		936,427
	13,548,195	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.64%, due 03/25/36		344,873
	7,728,168	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 5.78%, due 03/25/36		196,633
	20,604,147	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.84%, due 03/25/36		524,143
	10,725	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.33%, due 08/25/35 (a)		282,180
	1,875,019	Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19		1,675,757
	1,091,101	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,058,593
	3,448,629	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		3,341,019
	6,605,598	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,433,350

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	11,752,084	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		2,182,450
	4,922,896	Oakwood Mortgage Investors, Inc., Series 2001-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31		4,693,260
	2,761,032	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,348,301
	387,261	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		353,164
	2,563,844	Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32		2,419,911
	1,502,775	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,323,394
	1,149,433	Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 6.04%, due 02/25/57		1,172,720
	6,972,000	Towd Point Mortgage Trust, Series 17-5, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.34%, due 02/25/57		7,066,119
	9,322,481	Tricon American Homes, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38		8,562,792
	11,170,307	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		10,628,513
	5,671,985	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		4,980,528
	2,460,099	UCFC Manufactured Housing Contract, Series 1998-2, Class M1, 6.73%, due 10/15/29		2,286,699
	5,217,873	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		4,833,346
		Total Residential Mortgage-Backed Securities — Other		111,516,206
		Residential Mortgage-Backed Securities — Performing Loans — 0.9%
	2,403,352	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,081,811
	6,421,522	CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		5,535,766
	4,968,800	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		4,339,527
		Total Residential Mortgage-Backed Securities — Performing Loans		11,957,104
		Residential Mortgage-Backed Securities — Prime — 2.2%
	6,758,995	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 5.65%, due 10/25/46		3,725,984
	428,711	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 7.67%, due 10/25/35		393,859

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	3,686,107	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		1,990,858
	1,171,450	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.25%, due 12/25/36		896,893
		Residential Mortgage-Backed Securities — Prime — continued
	810,106	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.02%, due 03/25/37		585,565
	6,901,416	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.88%, due 04/25/46		5,752,679
	1,606,869	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		705,257
	4,387,142	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 6.51%, due 05/25/35		3,622,043
	647,620	WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.75%, due 09/25/35		575,928
	849,652	WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 6.36%, due 01/25/47		735,613
	1,860,105	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 5.50%, due 06/25/35		1,550,933
	1,899,616	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.75%, due 12/25/35		1,562,669
	4,043,782	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.14%, due 10/25/36		1,354,229
	8,293,214	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37		7,121,572
		Total Residential Mortgage-Backed Securities — Prime		30,574,082
		Residential Mortgage-Backed Securities — Subprime — 1.4%
	955,846	ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.27%, due 06/25/35		899,558
	821,169	BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.38%, due 05/26/37		791,429
	10,874,949	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 6.04%, due 07/25/36		9,476,556
	447,169	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 5.58%, due 12/25/36		431,046
	901,804	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.28%, due 11/20/34		836,376

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — continued
	2,228,079	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 5.54%, due 09/25/36		2,058,901
	2,148,490	Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.01%, due 05/25/36		2,099,039
	683,939	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 08/25/37		639,526
	2,683,178	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 6.64%, due 01/25/35		2,514,040
		Total Residential Mortgage-Backed Securities — Subprime		19,746,471
		Residential Mortgage-Backed Securities — Alt-A — 2.6%
	782,134	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.34%, due 11/25/34		763,305
	1,802,806	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 01/25/47		1,418,691
	1,618,467	Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,470,950
	3,578,372	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.65%, due 07/25/36		1,983,200
	216,308	Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		206,969
	2,216,310	Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,055,854
	1,524,127	Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.00%, due 05/25/36		659,911
	1,552,559	Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.14%, due 10/25/36		625,671
	4,328,455	Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 7.99%, due 10/25/35		2,686,933
	10,583,213	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 06/25/36		2,079,411
	10,910,096	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.45%, due 06/25/47		6,242,936
	6,085,925	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.65%, due 07/19/47		5,430,377
	118,346	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		92,632

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	1,156,437	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 8.44%, due 10/25/37		1,086,471
	2,621,515	Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35		1,460,056
	15,290,841	Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36		4,026,609
	7,950,158	Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 08/25/37		3,328,520
		Total Residential Mortgage-Backed Securities — Alt-A		35,618,496
		Small Balance Commercial Mortgages — 4.3%
	2,455,030	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 5.90%, due 08/25/35		2,342,987
	1,256,553	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 6.02%, due 01/25/36		1,186,915
	1,671,151	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 04/25/36		1,543,635
	671,766	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.01%, due 04/25/36		616,255
	953,295	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.78%, due 07/25/36		904,640
	1,949,977	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 07/25/36		1,854,798
	2,810,734	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 5.81%, due 10/25/36		2,686,387
	7,231,343	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 01/25/37		6,831,946
	1,193,401	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 5.77%, due 03/25/37		1,126,336
	2,047,032	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 07/25/37		1,920,323
	4,445,113	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 5.84%, due 07/25/37		4,084,015

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,369,833	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.94%, due 01/25/38		1,326,541
	100,042,703	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.17%, due 05/25/30		3,717,917
	117,315,289	FRESB Mortgage Trust, Class X1, Variable Rate, 0.76%, due 04/25/39		4,293,611
	48,643,549	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.09%, due 03/25/40		1,442,855
	83,605,623	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.88%, due 06/25/40		2,246,316
	3,500,000	Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46		3,169,579
	2,748,254	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 03/25/37		2,531,748
	1,540,852	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.84%, due 06/25/37		1,528,604
	7,031,980	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.72%, due 10/25/37		6,855,523
	5,438,398	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		4,803,947
	1,534,804	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,216,351
	1,121,562	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 6.21%, due 12/27/49		1,106,227
		Total Small Balance Commercial Mortgages		59,337,456
		Student Loans — Federal Family Education Loan Program — 3.9%
	10,745,986	AccessLex Institute, Series 2004-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 5.95%, due 04/26/32		10,376,531
	3,979,673	AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 6.31%, due 01/25/43		3,612,009
	2,701,926	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 90 day USD SOFR Average + 0.58%, 5.93%, due 03/28/35		2,443,172
	5,364,626	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 6.52%, due 06/15/21		5,298,179
	6,274,386	SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 5.94%, due 01/25/22		6,163,688

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Federal Family Education Loan Program — continued
	12,015,893	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 7.26%, due 07/25/22		12,024,821
	13,909,377	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 7.31%, due 07/25/23		13,935,425
		Total Student Loans - Federal Family Education Loan Program		53,853,825
		Student Loans — Private — 10.7%
	973,474	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 6.39%, due 07/25/34		952,854
	7,283,974	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.87%, due 12/27/38		6,988,925
	4,454,493	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, U.S. (Fed) Prime Rate + 1.25%, 6.84%, due 07/28/42		4,171,942
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 8.64%, due 03/31/38 (a)		1,755,000
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38 (a)		1,525,000
	2,633,456	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.75%, due 05/25/32		2,558,957
	4,740,826	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 5.73%, due 01/25/33		4,462,094
	6,462,669	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.79%, due 03/25/33		6,231,405
	2,319,532	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 5.81%, due 06/25/33		2,248,012
	13,937,972	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.74%, due 10/25/33		13,343,672
	1,880,945	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 12/26/33		1,840,946
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.94%, due 03/25/38 (b)		19,000
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.94%, due 03/25/38 (b)		57,000
	3,419,358	Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,000,728
	2,050,591	Navient Student Loan Trust, Series 2023-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 7.02%, due 03/15/72		2,064,453
	2,443,929	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,205,086
	1,939,289	SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 7.19%, due 06/15/32		688,492

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	2,590,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.30%, due 06/15/32 (a)		2,577,050
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 7.19%, due 09/15/32		1,519,840
	1,250,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (a)		1,243,750
	3,194,704	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 5.99%, due 06/15/33		3,175,241
	7,819,256	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 6.02%, due 09/15/33		7,726,920
	13,470,497	SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 5.90%, due 12/15/38		13,270,719
	16,564,330	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 5.88%, due 06/15/39		16,090,452
	10,085,416	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 5.92%, due 06/15/39		9,887,018
	1,770,716	SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 5.79%, due 12/15/39		1,710,868
	7,960,651	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 5.86%, due 12/15/39		7,765,436
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 5.98%, due 12/15/39		2,480,340
	13,529,551	SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 5.83%, due 12/16/41		13,350,443
	3,594,120	SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 6.71%, due 07/25/23		3,568,315
	1,000	SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (b)		825,405
	1,045,599	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.94%, due 01/25/36		1,046,280
	7,760,167	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 6.49%, due 01/25/46		7,718,234
		Total Student Loans — Private		148,069,877
		Total Asset-Backed Securities		960,960,077
		U.S. Government — 7.4%
	4,100,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (c) (d)		4,105,259
	45,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (c) (d)		45,098,879
	53,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26		53,024,591
		Total U.S. Government		102,228,729

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — 5.9%
	7,500,000	Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24		7,501,651
	4,161,723	Federal National Mortgage Association, 4.00%, due 05/01/52		3,782,429
	380,000	Government National Mortgage Association, TBA, 3.00%, due 06/20/54		328,221
	600,000	Government National Mortgage Association, TBA, 3.50%, due 06/20/54		535,395
	400,000	Government National Mortgage Association, TBA, 4.00%, due 06/20/54		367,669
	760,000	Government National Mortgage Association, TBA, 4.50%, due 06/20/54		718,538
	720,000	Government National Mortgage Association, TBA, 5.00%, due 06/20/54		698,776
	610,000	Government National Mortgage Association, TBA, 5.50%, due 06/20/54		605,075
	1,910,000	Uniform Mortgage-Backed Security, TBA, 5.00%, due 06/01/54		1,838,117
	39,620,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/54		38,977,318
	27,020,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/54		27,057,109
		Total U.S. Government Agency		82,410,298
		TOTAL DEBT OBLIGATIONS (COST $1,235,325,151)		1,145,599,104
		MUTUAL FUNDS — 0.9%
		United States — 0.9%
		Affiliated Issuers — 0.9%
	2,323,242	GMO U.S. Treasury Fund		11,616,211
		TOTAL MUTUAL FUNDS (COST $11,703,541)		11,616,211
		SHORT-TERM INVESTMENTS — 20.1%
		Repurchase Agreements — 19.8%
	275,075,710	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $275,197,202 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $279,350,913.		275,075,710
		Money Market Funds — 0.3%
	3,755,110	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e)		3,755,110
		TOTAL SHORT-TERM INVESTMENTS (COST $278,830,820)		278,830,820

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.0%

iTraxx Europe S41

JPM

52.50

%

06/19/24

EUR 83,440,000

Fixed Spread

Pay

86,325

TOTAL PURCHASED OPTIONS (COST $119,183)

86,325

TOTAL INVESTMENTS — 103.6% (Cost $1,525,978,695)

1,436,132,460

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (4.0)%
			DEBT OBLIGATIONS — (4.0)%
			U.S. Government Agency — (4.0)%
	(40,000,000	)	Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/39		(35,952,019	)
	(20,000,000	)	Uniform Mortgage-Backed Security, TBA, 5.00%, due 06/01/39		(19,804,590	)
			Total U.S. Government Agency		(55,756,609	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $55,628,906)		(55,756,609	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $55,628,906)		(55,756,609	)
			Other Assets and Liabilities (net) — 0.4%		6,180,712
			TOTAL NET ASSETS — 100.0%		$1,386,556,563

 

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/24/2024	MSCI	EUR	93,000		USD	100,827	$	(170	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
59	U.S. Long Bond (CBT)		September 2024		6,847,687		(55,192	)
555	U.S. Treasury Note 10 Yr. (CBT)		September 2024		60,382,266		101,338
1,273	U.S. Treasury Note 2 Yr. (CBT)		September 2024		259,314,079		(292,240	)
1,066	U.S. Treasury Note 5 Yr. (CBT)		September 2024		112,779,469		(283,634	)
178	U.S. Treasury Ultra 10 Yr. (CBT)		September 2024		19,941,562		(67,029	)
29	U.S. Ultra Bond (CBT)		September 2024		3,550,688		(24,555	)
				$	462,815,751	$	(621,312	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps - Puts

CDX.NA.HYS.42

GS

75.00%

06/20/24

USD

(41,800,000

)

Fixed Spread

Pay

(2,634

)

iTraxx Europe S41

JPM

67.50%

06/19/24

EUR

(83,440,000

)

Fixed Spread

Pay

(5,865

)

Total Written Options On Credit Default Swaps — Puts

(8,499

)

TOTAL WRITTEN OPTIONS (Premiums $51,916)

$

(8,499

)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium	Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under  the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S39	USD	3,920,000	5.00%		2.84%	N/A		12/20/2027		Quarterly		(78,499	)		(260,513	)		(182,014	)
CDX.NA.IG.S42	USD	126,451,000	1.00%		0.50%	N/A		06/20/2029		Quarterly		(2,747,894	)		(2,828,582	)		(80,688	)
											$	(2,826,393	)	$	(3,089,095	)	$	(262,702	)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S33	CITI	USD	8,140,000	5.00%	0.08%	N/A		12/20/2024	Quarterly		(196,490	)		(220,666	)		(24,176	)
CDX.NA.HY.S33	GS	USD	5,355,000	5.00%	0.08%	N/A		12/20/2024	Quarterly		121,559			(145,168	)		(266,727	)
CDX.NA.HY.S41	MORD	USD	9,001,000	5.00%	4.01%	N/A		12/20/2028	Quarterly		(360,570	)		(351,783	)		8,787
CDX.NA.HY.S41	MORD	USD	9,001,000	5.00%	1.57%	N/A		12/20/2028	Quarterly		(1,230,427	)		(1,258,413	)		(27,986	)
CMBX.NA.A.7	CGMI	USD	1,420,000	2.00%	131.64%	N/A		01/17/2047	Monthly		89,177			69,452			(19,725	)
CMBX.NA.A.7	CGMI	USD	10,000,000	2.00%	131.64%	N/A		01/17/2047	Monthly		593,750			489,100			(104,650	)
CMBX.NA.A.7	GS	USD	2,840,000	2.00%	131.64%	N/A		01/17/2047	Monthly		156,358			138,904			(17,454	)
CMBX.NA.AS.7	BOA	USD	4,505,000	1.00%	1.94%	N/A		01/17/2047	Monthly		47,352			758			(46,594	)
CMBX.NA.AS.7	DB	USD	7,608,000	1.00%	1.94%	N/A		01/17/2047	Monthly		(119,899	)		1,281			121,180
CMBX.NA.AS.7	DB	USD	16,677,794	1.00%	1.94%	N/A		01/17/2047	Monthly		197,705			2,808			(194,897	)
CMBX.NA.AS.7	GS	USD	4,400,000	1.00%	1.94%	N/A		01/17/2047	Monthly		112,812			741			(112,071	)
CMBX.NA.AS.7	MSCI	USD	13,270,000	1.00%	1.94%	N/A		01/17/2047	Monthly		205,782			2,234			(203,548	)
CMBX.NA.AA.11	CGMI	USD	4,000,000	1.50%	2.01%	N/A		11/18/2054	Monthly		(6,041	)		61,084			67,125
CMBX.NA.AA.11	CGMI	USD	4,626,000	1.50%	2.01%	N/A		11/18/2054	Monthly		(63,740	)		70,644			134,384
CMBX.NA.AA.11	MORD	USD	4,624,500	1.50%	2.01%	N/A		11/18/2054	Monthly		(67,279	)		70,621			137,900
CMBX.NA.AA.11	MORD	USD	4,624,500	1.50%	2.01%	N/A		11/18/2054	Monthly		(61,371	)		70,621			131,992
CMBX.NA.BBB-.11	CGMI	USD	5,752,000	3.00%	7.74%	N/A		11/18/2054	Monthly		1,213,312			746,322			(466,990	)
CMBX.NA.A.8	CGMI	USD	5,000,000	2.00%	5.21%	N/A		10/17/2057	Monthly		262,500			49,888			(212,612	)
CMBX.NA.A.8	GS	USD	8,892,000	2.00%	5.21%	N/A		10/17/2057	Monthly		150,185			88,720			(61,465	)
CMBX.NA.A.8	MORD	USD	2,000,000	2.00%	5.21%	N/A		10/17/2057	Monthly		107,500			19,955			(87,545	)
CMBX.NA.BBB-.8	GS	USD	1,444,000	3.00%	36.58%	N/A		10/17/2057	Monthly		216,864			143,949			(72,915	)
CMBX.NA.BBB-.8	GS	USD	4,224,000	3.00%	36.58%	N/A		10/17/2057	Monthly		400,908			421,080			20,172
CMBX.NA.BBB-.8	MSCI	USD	2,366,000	3.00%	36.58%	N/A		10/17/2057	Monthly		458,413			235,861			(222,552	)
CMBX.NA.BBB-.8	MSCI	USD	3,153,000	3.00%	36.58%	N/A		10/17/2057	Monthly		665,756			314,315			(351,441	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.BBB-.9	DB	USD	1,184,200	3.00%	17.38%	N/A		09/17/2058	Monthly		143,660			197,317			53,657
CMBX.NA.BBB-.9	GS	USD	1,752,000	3.00%	17.38%	N/A		09/17/2058	Monthly		402,960			291,927			(111,033	)
CMBX.NA.BBB-.9	MORD	USD	4,100,000	3.00%	17.38%	N/A		09/17/2058	Monthly		758,500			683,163			(75,337	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800	3.00%	17.38%	N/A		09/17/2058	Monthly		584,727			852,587			267,860
CMBX.NA.AA.12	GS	USD	6,974,000	1.50%	2.10%	N/A		08/17/2061	Monthly		(61,732	)		154,927			216,659
CMBX.NA.A.6	CGMI	USD	15,000,000	2.00%	55.15%	N/A		05/11/2063	Monthly		750,470			733,527			(16,943	)
CMBX.NA.AA.6	GS	USD	4,703,649	1.50%	49.35%	N/A		05/11/2063	Monthly		34,885			72,434			37,549
CMBX.NA.BBB-.6	CGMI	USD	4,274,000	3.00%	27.79%	N/A		05/11/2063	Monthly		1,357,351			247,314			(1,110,037	)
CMBX.NA.A.15	CGMI	USD	5,000,000	2.00%	3.16%	N/A		11/18/2064	Monthly		600,000			315,063			(284,937	)
CMBX.NA.A.15	MORD	USD	3,000,000	2.00%	3.16%	N/A		11/18/2064	Monthly		287,104			189,038			(98,066	)
CMBX.NA.BBB-.15	CGMI	USD	5,000,000	3.00%	5.98%	N/A		11/18/2064	Monthly		796,875			744,062			(52,813	)
CMBX.NA.BBB-.15	GS	USD	5,000,000	3.00%	5.98%	N/A		11/18/2064	Monthly		787,500			744,062			(43,438	)
CMBX.NA.BBB-.15	MSCI	USD	5,000,000	3.00%	5.98%	N/A		11/18/2064	Monthly		718,500			744,062			25,562
CMBX.NA.A.14	GS	USD	2,682,000	2.00%	3.45%	N/A		12/16/2072	Monthly		349,769			188,235			(161,534	)
CMBX.NA.AA.13	CGMI	USD	2,000,000	1.50%	2.15%	N/A		12/16/2072	Monthly		147,237			58,335			(88,902	)
CMBX.NA.AA.13	CGMI	USD	3,000,000	1.50%	2.15%	N/A		12/16/2072	Monthly		138,948			87,502			(51,446	)
CMBX.NA.BBB-.14	CGMI	USD	3,933,500	3.00%	7.78%	N/A		12/16/2072	Monthly		1,111,214			805,384			(305,830	)
CMBX.NA.BBB-.14	GS	USD	1,360,000	3.00%	7.78%	N/A		12/16/2072	Monthly		340,000			278,460			(61,540	)
Sell Protection^:
CDX.NA.HY.S33	CITI	USD	4,201,343	5.00%	0.04%	4,201,343 USD		12/20/2024	Quarterly		444,572			114,634			(329,938	)
CDX.NA.HY.S33	CITI	USD	10,598,036	5.00%	0.04%	10,598,036 USD		12/20/2024	Quarterly		1,827,631			289,168			(1,538,463	)
CDX.NA.HY.S33	GS	USD	25,937,869	5.00%	0.04%	25,937,869 USD		12/20/2024	Quarterly		5,736,853			707,717			(5,029,136	)
CDX.NA.HY.S33	JPM	USD	10,394,872	5.00%	0.04%	10,394,872 USD		12/20/2024	Quarterly		1,704,759			283,625			(1,421,134	)
CDX.NA.HY.S33	MORD	USD	2,769,437	5.00%	0.04%	2,769,437 USD		12/20/2024	Quarterly		476,620			75,564			(401,056	)
CDX.NA.HY.S41	MORD	USD	63,009,000	5.00%	0.42%	63,009,000 USD		12/20/2028	Quarterly		11,635,950			11,454,916			(181,034	)
CMBX.NA.AA.7	CGMI	USD	5,000,000	1.50%	54.87%	5,000,000 USD		01/17/2047	Monthly		(125,000	)		(109,707	)		15,293
CMBX.NA.A.9	CGMI	USD	2,500,000	2.00%	6.57%	2,500,000 USD		09/17/2058	Monthly		(74,374	)		(140,342	)		(65,968	)
CMBX.NA.A.9	GS	USD	4,158,800	2.00%	6.57%	4,158,800 USD		09/17/2058	Monthly		54,550			(233,462	)		(288,012	)
CMBX.NA.A.9	MORD	USD	7,600,000	2.00%	6.57%	7,600,000 USD		09/17/2058	Monthly		(698,250	)		(426,641	)		271,609
CMBX.NA.AAA.10	GS	USD	7,540,000	0.50%	0.58%	7,540,000 USD		11/17/2059	Monthly		68,960			(12,466	)		(81,426	)
CMBX.NA.AAA.15	CGMI	USD	10,000,000	0.50%	0.71%	10,000,000 USD		11/18/2064	Monthly		(373,108	)		(122,792	)		250,316
CMBX.NA.AAA.15	GS	USD	2,825,000	0.50%	0.71%	2,825,000 USD		11/18/2064	Monthly		(43,465	)		(34,689	)		8,776
										$	32,777,782		$	20,255,232		$	(12,522,550	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(1) As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Markit iBoxx USD Liquid Investment Grade Index	SOFR	JPM		USD 22,883,000		06/20/2024	Quarterly		(123	)		(41,530	)		(41,407	)
Total Return on Markit iBoxx USD Liquid Investment Grade Index	SOFR	JPM		USD 16,877,000		06/20/2024	At Maturity		28			(160,220	)		(160,248	)
Total Return on Markit iBoxx USD Liquid Investment Grade Index	SOFR	MORD		USD 13,660,000		06/20/2024	At Maturity		—			(23,540	)		(23,540	)
								$	(95	)	$	(225,290	)	$	(225,195	)

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Investment valued using significant unobservable inputs.

(c) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(d) All or a portion of this security is out on loan.

(e) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

IO - Interest Only

MTA - Monthly Treasury Average Index

SOFR - Secured Overnight Financing Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at May 31, 2024.

TBA - To Be Announced - Delayed Delivery Security

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.8%
		U.S. Government — 89.2%
	17,712,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25		17,731,313
	5,900,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25		5,906,280
	88,577,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25		88,624,365
	59,040,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25		59,115,735
	117,980,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26		118,239,238
	5,920,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26		5,922,747
	4,486,025	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/24		4,482,997
	24,094,721	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/24		23,887,255
	30,425,639	U.S. Treasury Inflation-Indexed Notes, 0.25%, due 01/15/25		29,856,089
	15,617,000	U.S. Treasury Notes, 1.50%, due 09/30/24		15,423,313
	36,610,000	U.S. Treasury Notes, 4.63%, due 06/30/25		36,408,359
	37,630,000	U.S. Treasury Notes, 3.13%, due 08/15/25		36,764,216
	32,410,000	U.S. Treasury Notes, 4.88%, due 11/30/25		32,336,571
	32,925,000	U.S. Treasury Notes, 4.25%, due 12/31/25		32,544,305
		Total U.S. Government		507,242,783
		U.S. Government Agency — 2.5%
	4,000,000	Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24		4,000,880
	10,000,000	Federal Home Loan Banks, 5.50%, due 09/04/25		9,995,224
		Total U.S. Government Agency		13,996,104
		Repurchase Agreements — 8.0%
	45,438,374	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $45,458,443 and an effective yield of 5.30%, collateralized by a U.S. Treasury Notes with maturity dates 08/15/25 - 09/30/26 and a market value of $46,157,965.		45,438,374

Shares		Description	Value ($)
		Money Market Funds — 0.1%
	799,737	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 5.24% (a)		799,737
		TOTAL SHORT-TERM INVESTMENTS (COST $567,721,090)		567,476,998
		TOTAL INVESTMENTS — 99.8% (Cost $567,721,090)		567,476,998
		Other Assets and Liabilities (net) — 0.2%		862,979
		TOTAL NET ASSETS — 100.0%		$568,339,977

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

The rates shown on variable rate notes are the current interest rates at May 31, 2024 which are subject to change based on the terms of the security.

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges

     

(including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; certain loan assignments valued using a vendor price of a comparable loan; certain investment funds whose valuations are based on monthly net asset value statements; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

     

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2024:

Description	Level 1			Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	4,004,362		$	—		$	—	$	4,004,362
TOTAL DEBT OBLIGATIONS		4,004,362			—			—		4,004,362
Short-Term Investments		357,662			35,716,709			—		36,074,371
Total Investments		4,362,024			35,716,709			—		40,078,733
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			144,488			—		144,488
Futures Contracts
Interest Rate Risk		21,537			—			—		21,537
Total	$	4,383,561		$	35,861,197		$	—	$	40,244,758
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(373,023	)	$	—		$	—	$	(373,023	)
Total	$	(373,023	)	$	—		$	—	$	(373,023	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	5,845,477		$	—	$	5,845,477
Corporate Debt		—			96,098,734			15,939,140		112,037,874
Sovereign and Sovereign Agency Issuers		—			1,864,998,010			135,081,175		2,000,079,185
U.S. Government		8,102,551			—			—		8,102,551
TOTAL DEBT OBLIGATIONS		8,102,551			1,966,942,221			151,020,315		2,126,065,087
Loan Assignments		—			—			20,510,355		20,510,355
Loan Participations		—			—			7,575,664		7,575,664
Investment Funds		—			—			13,524,561		13,524,561
Rights/Warrants		—			20,452,947			306,081		20,759,028
Short-Term Investments		4,250,317			52,999,503			—		57,249,820
Total Investments		12,352,868			2,040,394,671			192,936,976		2,245,684,515
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,617,403			—		2,617,403
Swap Contracts
Credit Risk		—			5,414,883			—		5,414,883
Interest Rate Risk		—			3,473,948			—		3,473,948
Total	$	12,352,868		$	2,051,900,905		$	192,936,976	$	2,257,190,749
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,035,965	)	$	—	$	(2,035,965	)
Swap Contracts
Credit Risk		—			(883,678	)		—		(883,678	)
Interest Rate Risk		—			(6,848,923	)		—		(6,848,923	)
Total	$	—		$	(9,768,566	)	$	—	$	(9,768,566	)

     

Description	Level 1			Level 2			Level 3		Total
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	30,211,160		$	—	$	30,211,160
U.S. Government		36,107,008			—			—		36,107,008
TOTAL DEBT OBLIGATIONS		36,107,008			30,211,160			—		66,318,168
Short-Term Investments		977,561			82,889,751			—		83,867,312
Total Investments		37,084,569			113,100,911			—		150,185,480
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,690,000			—		1,690,000
Futures Contracts
Interest Rate Risk		5,293			—			—		5,293
Swap Contracts
Credit Risk		—			1,440,202			—		1,440,202
Interest Rate Risk		—			1,881,558			—		1,881,558
Total	$	37,089,862		$	118,112,671		$	—	$	155,202,533
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(24,547	)	$	—		$	—	$	(24,547	)
Swap Contracts
Interest Rate Risk		—			(49,219	)		—		(49,219	)
Total	$	(24,547	)	$	(49,219	)	$	—	$	(73,766	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	17,003,501		$	—	$	17,003,501
U.S. Government		2,052,621			—			—		2,052,621
U.S. Government Agency		—			12,942,736			—		12,942,736
TOTAL DEBT OBLIGATIONS		2,052,621			29,946,237			—		31,998,858
Common Stocks		11,468,600			—			—		11,468,600
Mutual Funds		18,322,696			—			—		18,322,696
Short-Term Investments		328,840			27,251,465			—		27,580,305
Total Investments		32,172,757			57,197,702			—		89,370,459
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			612,309			—		612,309
Futures Contracts
Interest Rate Risk		7,721			—			—		7,721
Swap Contracts
Interest Rate Risk		—			806,971			—		806,971
Total	$	32,180,478		$	58,616,982		$	—	$	90,797,460
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(151,419	)	$	—	$	(151,419	)
Futures Contracts
Interest Rate Risk		(98,938	)		—			—		(98,938	)
Swap Contracts
Credit Risk		—			(89,476	)		—		(89,476	)
Interest Rate Risk		—			(361,561	)		—		(361,561	)
Total	$	(98,938	)	$	(602,456	)	$	—	$	(701,394	)

     

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	952,675,692		$	8,284,385	$	960,960,077
U.S. Government		102,228,729			—			—		102,228,729
U.S. Government Agency		7,501,651			74,908,647			—		82,410,298
TOTAL DEBT OBLIGATIONS		109,730,380			1,027,584,339			8,284,385		1,145,599,104
Mutual Funds		11,616,211			—			—		11,616,211
Short-Term Investments		3,755,110			275,075,710			—		278,830,820
Purchased Options		—			86,325			—		86,325
Total Investments		125,101,701			1,302,746,374			8,284,385		1,436,132,460
Derivatives^
Futures Contracts
Interest Rate Risk		101,338			—			—		101,338
Swap Contracts
Credit Risk		—			23,311,361			—		23,311,361
Total	$	125,203,039		$	1,326,057,735		$	8,284,385	$	1,459,545,159
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(55,756,609	)	$	—	$	(55,756,609	)
TOTAL DEBT OBLIGATIONS		—			(55,756,609	)		—		(55,756,609	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(170	)		—		(170	)
Futures Contracts
Interest Rate Risk		(722,650	)		—			—		(722,650	)
Written Options
Credit Risk		—			(8,499	)		—		(8,499	)
Swap Contracts
Credit Risk		—			(6,145,224	)		—		(6,145,224	)
Interest Rate Risk		—			(225,290	)		—		(225,290	)
Total	$	(722,650	)	$	(62,135,792	)	$	—	$	(62,858,442	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	463,812,283		$	103,664,715		$	—	$	567,476,998
Total Investments		463,812,283			103,664,715			—		567,476,998
Total	$	463,812,283		$	103,664,715		$	—	$	567,476,998

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for bond forward contracts and forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

     

As of May 31, 2024, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 270 basis point discount for liquidity considerations and Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued based on a more liquid loan participation’s price.

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 29, 2024		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3			Balances as of May 31, 2024		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2024
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	15,769,296	$	—	$	—		$	7,627		$	—		$	162,217		$	—	$	— $			15,939,140	$	162,217
Sovereign and Sovereign Agency Issuers		160,306,605		—		(4,270,000	)		618,879			(2,730,000	)		13,972,763			—		(32,817,072	)‡		135,081,175		12,847,175
Investment Funds		13,370,532		—		(128,002	)		—			33,592			248,439			—		—			13,524,561		248,439
Loan Assignments		22,151,861		—		(3,520,176	)		131,953			502,477			1,244,240			—		—			20,510,355		1,237,685
Loan Participations		8,710,556		—		(1,283,333	)		(89,669	)		13,311			224,799			—		—			7,575,664		224,799
Rights/Warrants		5,204,280		—		—			—			—			584,491			—		(5,482,690	)		306,081		(17,008	)
Total Investments		225,513,130		—		(9,201,511	)		668,790			(2,180,620	)		16,436,949			—		(38,299,762	)		192,936,976		14,703,307
Derivatives
Options		117,019		—		—			—			6,444,672			(6,561,691	)		—		—			—		—
Total	$	225,630,149	$	—	$	(9,201,511	)#	$	668,790		$	4,264,052		$	9,875,258		$	—	$	(38,299,762	)	$	192,936,976	$	14,703,307

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

# Includes $4,803,509 of proceeds received from partial calls and/or principal paydowns as applicable.

     

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2024.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Sovereign and Sovereign Agency Issuers		38,165,432	Fair Value	Discount for lack of liquidity/marketability	1.40% - 1.60% (1.42%)
Sovereign and Sovereign Agency Issuers		9,435	Fair Value	Discount for lack of liquidity/marketability	99% (N/A)
Corporate Debt		14,059,212	Fair Value	Discount for lack of liquidity/marketability	2.70% (N/A)
Loan Assignments		959,385	Fair Value	Discount for lack of liquidity/marketability	5.00% (N/A)
Loan Assignments		13,364,011	Fair Value	Vendor price of comparable loan	N/A
Warrants		306,081	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Investment Funds		13,524,561	Fair Value	Net asset value statement	N/A

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2024, the value of these securities and/or derivatives for Emerging Country Debt Fund was $112,548,859. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2024 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Emerging Country Debt Fund
Bona Fide Investment Holdings II LLC	$	12,461,563	$	—	$	—	$	—	$	—	$	—	$	380,668		$	12,842,231
Bona Fide Investments Feeder LLC		908,969		—		128,002		—		—		33,592		(132,229	)		682,330
Totals	$	13,370,532	$	—	$	128,002	$	—	$	—	$	33,592	$	248,439		$	13,524,561
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	3,697,253	$	—	$	—	$	—	$	—	$	—	$	152,990		$	3,850,243
GMO Opportunistic Income Fund, Class VI		14,460,403		—		—		165,632		—		—		12,050			14,472,453
Totals	$	18,157,656	$	—	$	—	$	165,632	$	—	$	—	$	165,040		$	18,322,696
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	11,616,211	$	—	$	—	$	171,952	$	—	$	—	$	—		$	11,616,211

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through May 31, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025.

***

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

     

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.1%
		Australia — 2.7%
	53,758	Altium Ltd. (a)		2,408,894
	597,152	Alumina Ltd. *		752,912
	11,038	BHP Group Ltd. (a)		328,517
	29,120	BlueScope Steel Ltd.		410,938
	37,918	Brambles Ltd. (a)		360,431
	61,522	GPT Group – (REIT)		172,588
	146,610	Mirvac Group – (REIT)		192,555
	71,241	Scentre Group – (REIT) (a)		150,326
	70,191	Stockland – (REIT) (a)		211,507
		Total Australia		4,988,668
		Belgium — 0.6%
	10,475	Ageas SA (a)		522,574
	1,799	Groupe Bruxelles Lambert NV (a)		137,959
	3,884	UCB SA (a)		544,811
		Total Belgium		1,205,344
		Brazil — 0.1%
	4,388	Petroleo Brasileiro SA Sponsored ADR (a)		68,234
	3,928	Vale SA Sponsored ADR (a)		47,332
		Total Brazil		115,566
		Canada — 2.3%
	5,500	Alimentation Couche-Tard, Inc. (a)		321,013
	372	BRP, Inc.		23,250
	4,100	Canadian Tire Corp. Ltd. – Class A (a)		409,233
	600	CGI, Inc. * (a)		59,249
	900	Empire Co. Ltd. – Class A (a)		21,322
	1,800	iA Financial Corp., Inc.		117,196
	1,600	Magna International, Inc. (a) (b)		72,384
	427	Magna International, Inc. (a) (b)		19,305
	14,227	Manulife Financial Corp. (a) (b)		369,333
	9,000	Manulife Financial Corp. (a) (b)		233,758
	2,200	Nutrien Ltd. (a)		128,922
	35,933	Nuvei Corp. (a)		1,157,042
	2,800	Onex Corp. (a)		198,493
	1,900	Power Corp. of Canada (a)		55,162
	12,600	Quebecor, Inc. – Class B (a)		265,784
	176,256	Resolute Forest Products, Inc. * (c)		352,512
	5,000	West Fraser Timber Co. Ltd. (a) (b)		399,978
	1,214	West Fraser Timber Co. Ltd. (a) (b)		97,132
		Total Canada		4,301,068
		China — 0.7%
	111,000	Bank of Communications Co. Ltd. – Class H		83,779
	17,500	Beijing Enterprises Holdings Ltd.		61,688
	702,000	China Construction Bank Corp. – Class H		498,226
	212,000	China Railway Group Ltd. – Class H		114,230
	308,000	China Zhongwang Holdings Ltd. * (d)		—
	187,000	CITIC Ltd.		189,644

Shares		Description	Value ($)
		China — continued
	20,500	COSCO Shipping Holdings Co. Ltd. – Class H		34,328
	152,000	Dongfeng Motor Group Co. Ltd. – Class H		49,306
	13,000	Kingboard Holdings Ltd.		31,627
	10,500	Orient Overseas International Ltd. (a)		178,337
	8,500	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		12,620
	17,200	Sinopharm Group Co. Ltd. – Class H		46,807
		Total China		1,300,592
		Denmark — 1.0%
	122	AP Moller – Maersk AS – Class A (a)		214,083
	232	AP Moller – Maersk AS – Class B (a)		421,818
	17,636	Danske Bank AS (a)		542,159
	1,363	Genmab AS * (a)		384,719
	126	Pandora AS (a)		20,697
	840	ROCKWOOL AS – B Shares		353,422
		Total Denmark		1,936,898
		Finland — 0.4%
	142,786	Nokia OYJ (a)		558,493
	8,703	Stora Enso OYJ – R Shares (a)		127,493
		Total Finland		685,986
		France — 1.1%
	18,963	ArcelorMittal SA		500,293
	550	Cie de Saint-Gobain SA (a)		48,560
	9,490	Renault SA		557,444
	17,339	Societe Generale SA		519,352
	7,213	STMicroelectronics NV – NY Shares		302,730
	19,520	Vivendi SE (a)		214,954
		Total France		2,143,333
		Germany — 0.3%
	3,329	Continental AG (a)		226,886
	1,328	Daimler Truck Holding AG (a)		56,820
	686	DHL Group (a)		28,881
	2,577	E.ON SE (a)		34,512
	3,434	Mercedes-Benz Group AG (a)		249,230
	164	Siemens AG (Registered) (a)		31,610
		Total Germany		627,939
		Israel — 0.5%
	2,828	Bank Leumi Le-Israel BM		23,529
	1,952	Check Point Software Technologies Ltd. * (e)		293,776
	3,851	Israel Discount Bank Ltd. – Class A		19,806
	36,223	Teva Pharmaceutical Industries Ltd. Sponsored ADR * (a)		613,255
	4,074	Teva Pharmaceutical Industries Ltd. *		68,597
		Total Israel		1,018,963
		Italy — 0.6%
	10,282	Leonardo SpA * (a)		264,473

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	21,302	Stellantis NV (a)		471,968
	1,308,364	Telecom Italia SpA * (a)		344,891
		Total Italy		1,081,332
		Japan — 10.4%
	10,500	Amano Corp.		252,421
	13,400	Chubu Electric Power Co., Inc. (a)		185,131
	17,500	Credit Saison Co. Ltd. (a)		379,386
	20,700	Daiwabo Holdings Co. Ltd.		366,213
	20,300	Denka Co. Ltd.		286,805
	16,600	EXEO Group, Inc.		170,319
	19,300	Fuji Corp.		312,367
	16,100	FUJIFILM Holdings Corp. (a)		367,656
	15,000	Fujikura Ltd.		309,532
	25,200	H.U. Group Holdings, Inc. (a)		402,673
	47,600	Honda Motor Co. Ltd. (a)		539,008
	32,700	Inpex Corp. (a)		504,553
	28,600	Isuzu Motors Ltd.		383,295
	11,500	ITOCHU Corp. (a)		542,876
	25,800	Kanematsu Corp.		442,645
	5,200	Kansai Electric Power Co., Inc. (a)		94,105
	6,600	Kawasaki Kisen Kaisha Ltd. (a)		98,091
	21,500	Kirin Holdings Co. Ltd. (a)		296,914
	4,400	Kyudenko Corp.		179,171
	9,500	Maruichi Steel Tube Ltd.		226,678
	30,600	Mitsubishi Electric Corp. (a)		531,747
	13,600	Mitsui OSK Lines Ltd. (a)		448,288
	12,200	Morinaga & Co. Ltd.		195,128
	11,000	MS&AD Insurance Group Holdings, Inc. (a)		228,799
	4,700	NEC Corp. (a)		349,858
	12,900	NH Foods Ltd.		395,972
	13,800	Nippon Yusen KK (a)		437,531
	5,200	Nissan Motor Co. Ltd. (a)		18,598
	1,700	Ono Pharmaceutical Co. Ltd.		24,617
	36,200	Panasonic Holdings Corp. (a)		319,749
	48,700	Penta-Ocean Construction Co. Ltd.		196,141
	12,400	Renesas Electronics Corp. (a)		228,490
	22,800	Rohm Co. Ltd. (a)		295,522
	7,300	Sankyu, Inc.		263,676
	25,100	Sega Sammy Holdings, Inc.		354,535
	19,200	Sekisui House Ltd. (a)		432,337
	69,420	Shinko Electric Industries Co. Ltd. (a)		2,488,007
	5,200	Shionogi & Co. Ltd. (a)		234,276
	21,100	Stanley Electric Co. Ltd.		388,177
	13,800	Subaru Corp. (a)		308,495
	31,200	SUMCO Corp. (a)		469,040
	19,500	Sumitomo Corp. (a)		507,439
	8,200	Sumitomo Mitsui Financial Group, Inc. (a)		536,682
	16,600	Sumitomo Mitsui Trust Holdings, Inc.		385,943
	28,000	T&D Holdings, Inc. (a)		506,194
	5,500	TDK Corp. (a)		276,240
	12,600	THK Co. Ltd.		244,341

Shares		Description	Value ($)
		Japan — continued
	53,000	Tokai Carbon Co. Ltd.		337,024
	80,700	Tokyo Electric Power Co. Holdings, Inc. * (a)		484,479
	3,100	Toyota Industries Corp. (a)		292,363
	1,400	Toyota Tsusho Corp. (a)		85,497
	11,800	Yamaha Corp.		268,505
	27,300	Yamaha Motor Co. Ltd. (a)		267,314
	6,500	Zenkoku Hosho Co. Ltd.		232,911
		Total Japan		19,373,754
		Mexico — 0.0%
	2,590	Cemex SAB de CV Sponsored ADR *		19,503
		Netherlands — 1.3%
	8,945	Aegon Ltd. (a)		58,020
	4,598	EXOR NV (a)		516,358
	32,573	ING Groep NV (a)		581,928
	16,214	Koninklijke Ahold Delhaize NV (a)		502,845
	20,619	Koninklijke Philips NV * (a)		563,205
	3,312	NN Group NV (a)		154,535
		Total Netherlands		2,376,891
		New Zealand — 0.0%
	16,693	Meridian Energy Ltd. (a)		69,452
		Norway — 0.3%
	17,453	Equinor ASA (a)		506,621
		Poland — 0.3%
	26,712	ORLEN SA		432,694
	36,448	PGE Polska Grupa Energetyczna SA *		62,961
		Total Poland		495,655
		South Africa — 0.1%
	13,722	Bidvest Group Ltd.		179,405
		South Korea — 1.1%
	1,471	GS Holdings Corp.		46,442
	178	Hyundai Glovis Co. Ltd.		23,168
	644	Hyundai Mobis Co. Ltd.		100,409
	1,638	Hyundai Motor Co.		300,579
	5,807	Kia Corp.		495,664
	2,884	KT Corp. Sponsored ADR (a)		38,992
	2,606	LG Corp.		153,336
	6,292	LG Electronics, Inc.		478,593
	127	NAVER Corp.		15,722
	59	POSCO Holdings, Inc.		15,822
	4,205	POSCO Holdings, Inc. Sponsored ADR (a)		283,459
	1,217	Shinhan Financial Group Co. Ltd.		41,751
	1,257	SK Telecom Co. Ltd. Sponsored ADR (a)		25,995
		Total South Korea		2,019,932

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Spain — 0.6%
	48,988	Banco Bilbao Vizcaya Argentaria SA (a)		531,586
	115,067	Banco Santander SA (a)		606,834
		Total Spain		1,138,420
		Sweden — 0.6%
	56,524	Fastighets AB Balder – B Shares * (a)		382,709
	21,565	Investor AB – B Shares (a)		585,174
	2,403	Securitas AB – B Shares (a)		24,730
	7,954	Skanska AB – B Shares		140,491
	5,685	Volvo Car AB – Class B *		19,146
		Total Sweden		1,152,250
		Switzerland — 0.5%
	10,861	Adecco Group AG (Registered) (a)		412,184
	2,095	Roche Holding AG – Genusschein (a)		534,888
		Total Switzerland		947,072
		Thailand — 0.4%
	97,400	Kasikornbank PCL NVDR		347,364
	734,300	Krung Thai Bank PCL NVDR		343,724
	10,600	PTT Exploration & Production PCL NVDR		44,573
	27,800	PTT PCL NVDR		24,800
	9,900	SCB X PCL NVDR		28,586
	7,600	Thai Oil PCL NVDR		10,730
		Total Thailand		799,777
		Turkey — 0.3%
	23,930	Akbank TAS		49,054
	19,854	KOC Holding AS		146,715
	5,634	Turk Hava Yollari AO *		52,982
	356,794	Yapi ve Kredi Bankasi AS		358,046
		Total Turkey		606,797
		United Kingdom — 3.2%
	15,145	3i Group PLC (a)		558,047
	5,173	Berkeley Group Holdings PLC (a)		349,077
	331,374	BT Group PLC (a)		554,798
	6,485	Coca-Cola HBC AG (a)		220,070
	575,727	DS Smith PLC		2,823,618
	1,124	GSK PLC Sponsored ADR (e)		50,322
	103,382	Kingfisher PLC		349,990
	778	Shell PLC ADR (a)		56,623
	122,108	Taylor Wimpey PLC		231,176
	4,667	Unilever PLC Sponsored ADR (a)		255,518
	54,514	Vodafone Group PLC Sponsored ADR (a)		524,425
		Total United Kingdom		5,973,664
		United States — 62.7%
	5,533	3M Co. (e)		554,075
	6,638	AAON, Inc. (e)		498,182
	8,511	Acushnet Holdings Corp. (e)		560,875

Shares		Description	Value ($)
		United States — continued
	3,689	Akamai Technologies, Inc. * (e)		340,273
	266,395	Albertsons Cos., Inc. – Class A (a)		5,498,393
	1,167	Allegion PLC (a) (e)		142,164
	12,848	Ally Financial, Inc. (a) (e)		500,687
	602	Alphabet, Inc. – Class A * (a)		103,845
	1,522	Alphabet, Inc. – Class C * (a)		264,767
	2,117	Amazon.com, Inc. * (a)		373,523
	9,424	ANSYS, Inc. * (a) (e)		2,991,649
	29,935	Apartment Income REIT Corp. – (REIT) (e)		1,159,981
	3,295	AptarGroup, Inc. (a)		486,639
	2,491	ArcBest Corp. (e)		262,850
	1,603	Arch Capital Group Ltd. * (e)		164,516
	1,184	Archer-Daniels-Midland Co. (e)		73,929
	4,255	ASGN, Inc. * (a) (e)		399,587
	546	Aspen Technology, Inc. * (e)		115,015
	1,442	Atkore, Inc. (e)		219,400
	4,046	Axcelis Technologies, Inc. * (a)		455,135
	3,192	AZEK Co., Inc. *		153,088
	2,459	Balchem Corp.		377,702
	1,616	Bank of America Corp. (a)		64,624
	75,000	Berkshire Hathaway, Inc. – Class B * (a)		31,080,000
	710	Best Buy Co., Inc. (e)		60,222
	1,433	Bio-Rad Laboratories, Inc. – Class A * (e)		411,070
	13,127	BorgWarner, Inc.		468,109
	2,752	Builders FirstSource, Inc. * (e)		442,494
	4,877	Cactus, Inc. – Class A (a) (e)		250,434
	3,936	Capital One Financial Corp. (a) (e)		541,712
	34,895	Catalent, Inc. * (a)		1,877,002
	1,396	CBRE Group, Inc. – Class A * (a)		122,946
	6,120	Centene Corp. * (e)		438,131
	45,914	Cerevel Therapeutics Holdings, Inc. *		1,870,536
	56,028	ChampionX Corp. (a) (e)		1,827,633
	8,504	Ciena Corp. *		409,638
	4,480	Cirrus Logic, Inc. * (a) (e)		513,856
	9,944	Cisco Systems, Inc. (a) (e)		462,396
	9,014	Citigroup, Inc. (a)		561,662
	24,512	Cleveland-Cliffs, Inc. * (a)		423,567
	7,582	Cognizant Technology Solutions Corp. – Class A (e)		501,549
	3,929	Cohen & Steers, Inc. (e)		276,169
	12,311	Comcast Corp. – Class A (a)		492,809
	226	Cummins, Inc. (e)		63,671
	1,378	Curtiss-Wright Corp. (a)		389,726
	8,430	CVS Health Corp. (a)		502,428
	4,362	Discover Financial Services (a)		535,043
	2,122	Dolby Laboratories, Inc. – Class A (a) (e)		171,903
	2,122	DR Horton, Inc. (e)		313,632
	4,268	Dropbox, Inc. – Class A * (e)		96,158
	10,868	eBay, Inc. (a) (e)		589,263
	28,656	Endeavor Group Holdings, Inc. – Class A (a)		768,840
	148	EPAM Systems, Inc. * (a)		26,334
	55,110	Equitrans Midstream Corp. (a)		786,971
	9,562	Essent Group Ltd. (a) (e)		542,165

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	5,819	Etsy, Inc. * (e)		369,332
	160	Everest Group Ltd. (a)		62,549
	3,584	Expedia Group, Inc. * (a)		404,490
	1,390	F5, Inc. * (e)		234,868
	1,698	Fabrinet *		406,722
	7,854	Fidelity National Financial, Inc. (e)		395,527
	44,004	Ford Motor Co. (a)		533,768
	296	Fox Corp. – Class A (e)		10,191
	16,500	Fox Corp. – Class B (a)		527,010
	17,583	Franklin Resources, Inc. (e)		414,959
	1,266	FTI Consulting, Inc. * (a) (e)		271,937
	95,635	GCI Liberty, Inc. * (c) (e)		—
	5,608	GE HealthCare Technologies, Inc. (e)		437,424
	12,565	General Motors Co. (a) (e)		565,299
	14,629	Gentex Corp. (e)		512,015
	9,861	Globus Medical, Inc. – Class A * (a) (e)		661,772
	47,452	HashiCorp, Inc. – Class A * (a)		1,593,438
	30,631	Hess Corp. (a)		4,720,237
	26,329	Hewlett Packard Enterprise Co. (a) (e)		464,707
	3,868	Houlihan Lokey, Inc. (a) (e)		523,534
	18,081	HP, Inc. (a)		659,956
	8,168	Incyte Corp. * (e)		472,029
	15,235	Intel Corp. (a)		470,000
	2,907	International Business Machines Corp. (a)		485,033
	2,599	J & J Snack Foods Corp. (e)		422,883
	3,800	Jazz Pharmaceuticals PLC * (e)		399,950
	940	John B Sanfilippo & Son, Inc.		94,780
	659	Kadant, Inc. (e)		188,481
	599	Keysight Technologies, Inc. * (e)		82,950
	26,850	Kinder Morgan, Inc. (e)		523,306
	13,344	Kraft Heinz Co. (e)		471,977
	2,394	Kroger Co.		125,374
	2,796	Lancaster Colony Corp. (e)		518,658
	2,922	Landstar System, Inc. (a)		531,892
	1,953	Lennar Corp. – Class A (a) (e)		313,164
	41,231	Liberty Broadband Corp. – Class C * (e)		2,230,185
	96,199	Liberty Global Ltd. – Class A * (a)		1,603,637
	9,025	Liberty Media Corp.-Liberty Formula One – Class A * (a)		617,400
	7,534	Malibu Boats, Inc. – Class A * (e)		289,758
	13,820	Match Group, Inc. * (a) (e)		423,307
	28,160	McGrath RentCorp		3,068,877
	535	Medpace Holdings, Inc. * (a) (e)		206,692
	3,284	Merck & Co., Inc. (a)		412,273
	980	Meta Platforms, Inc. – Class A (a)		457,493
	3,745	Moderna, Inc. * (e)		533,850
	5,494	Mosaic Co. (a)		169,929
	15,698	Neogen Corp. * (a) (e)		206,429
	10,899	New York Times Co. – Class A (a)		558,029
	3,012	Nucor Corp. (a)		508,576
	6,890	Ollie’s Bargain Outlet Holdings, Inc. * (e)		567,943
	5,863	ON Semiconductor Corp. * (e)		428,234
	8,111	Ovintiv, Inc. (a)		419,095

Shares		Description	Value ($)
		United States — continued
	4,760	PACCAR, Inc. (e)		511,700
	38,822	Paramount Global – Class B (e)		462,370
	8,818	PayPal Holdings, Inc. * (a)		555,446
	153,945	Pershing Square Tontine Holdings Ltd. * (d)		—
	19,135	Pfizer, Inc. (a)		548,409
	5,695	Power Integrations, Inc. (a) (e)		432,877
	587	Preformed Line Products Co. (e)		78,858
	3,308	PriceSmart, Inc. (e)		278,368
	2,674	PulteGroup, Inc. (a)		313,714
	1,532	QUALCOMM, Inc. (a)		312,605
	2,138	RBC Bearings, Inc. * (e)		631,309
	566	Regeneron Pharmaceuticals, Inc. * (a)		554,771
	51,296	SilverBow Resources, Inc. * (a)		2,010,803
	4,954	Skyworks Solutions, Inc. (e)		459,038
	2,240	SolarEdge Technologies, Inc. * (e)		109,738
	1,383	Solventum Corp. * (e)		82,067
	215,385	Southwestern Energy Co. * (a) (e)		1,621,849
	638	SS&C Technologies Holdings, Inc. (a)		39,588
	3,718	Steel Dynamics, Inc. (e)		497,729
	12,634	StepStone Group, Inc. – Class A (a)		542,504
	11,478	Synchrony Financial (a)		502,736
	1,469	TE Connectivity Ltd. (a)		219,909
	1,374	Textron, Inc. (a) (e)		120,376
	914	TopBuild Corp. * (a)		382,006
	7,607	Tyson Foods, Inc. – Class A (a)		435,501
	127,291	U.S. Steel Corp. (a) (e)		4,881,610
	224	United Therapeutics Corp. * (a) (e)		61,629
	905	Universal Display Corp. (a)		159,008
	577	Valero Energy Corp. (a) (e)		90,670
	13,309	Verizon Communications, Inc. (a)		547,665
	43,779	Viatris, Inc. (e)		464,057
	108,455	Vizio Holding Corp. – Class A *		1,164,807
	23,919	Walgreens Boots Alliance, Inc. (e)		387,966
	378	Westlake Corp. (e)		60,692
	32,145	Westrock Co. (e)		1,724,258
	2,192	Woodward, Inc. (a)		408,808
	2,548	XPEL, Inc. * (e)		96,824
	7,331	Zoom Video Communications, Inc. – Class A * (a) (e)		449,684
		Total United States		117,352,836
		TOTAL COMMON STOCKS (COST $169,364,389)		172,417,718
		PREFERRED STOCKS (f) — 0.6%
		Brazil — 0.0%
	1,278	Petroleo Brasileiro SA ADR (a)		18,927
		Germany — 0.6%
	2,025	Bayerische Motoren Werke AG (a)		195,767
	8,636	Porsche Automobil Holding SE		476,522

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Germany — continued
	3,949	Volkswagen AG (a)		496,236
		Total Germany		1,168,525
		TOTAL PREFERRED STOCKS (COST $1,134,761)		1,187,452
		RIGHTS/WARRANTS — 0.3%
		United States — 0.3%
	195,149	Bristol-Myers Squibb Co. * (c)		429,328
	13,635	Contra Abiomed, Inc. * (c)		23,861
	38,486	Pershing Square Holdings Ltd. * (c)		11,546
		TOTAL RIGHTS/WARRANTS (COST $298,336)		464,735
		INVESTMENT FUNDS — 1.7%
		United States — 1.7%
	1,356,086	Altaba, Inc.* (c)		3,186,802
		TOTAL INVESTMENT FUNDS (COST $2,523,375)		3,186,802
		DEBT OBLIGATIONS — 44.9%
		United States — 44.9%
		U.S. Government — 20.9%
	25,550,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) (g)		25,577,860
	1,185,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25 (a) (g)		1,186,261
	4,967,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (a) (g)		4,973,372
	7,290,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (a) (g)		7,293,383
		Total U.S. Government		39,030,876
		U.S. Government Agency — 24.0%
	2,500,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/54		2,459,447
	42,500,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/54		42,558,369
		Total U.S. Government Agency		45,017,816
		Total United States		84,048,692
		TOTAL DEBT OBLIGATIONS (COST $84,005,530)		84,048,692

	Shares / Par Value†			Description	Value ($)
				MUTUAL FUNDS — 2.0%
				United States — 2.0%
				Affiliated Issuers — 2.0%
		160,655		GMO Resources Fund, Class VI		3,683,820
				TOTAL MUTUAL FUNDS (COST $3,875,000)		3,683,820
				SHORT-TERM INVESTMENTS — 24.2%
				Sovereign and Sovereign Agency Issuers — 6.8%
JPY		2,000,000,000		Japan Treasury Discount Bills, Zero Coupon, due 07/16/24		12,716,819
				Money Market Funds — 0.8%
		1,492,250		State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (h)		1,492,250
				Repurchase Agreements — 16.6%
		31,002,790		Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $31,016,483 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $31,484,633.		31,002,790
				TOTAL SHORT-TERM INVESTMENTS (COST $45,683,899)		45,211,859
				TOTAL INVESTMENTS — 165.8% (Cost $306,885,290)		310,201,078
				SECURITIES SOLD SHORT — (60.4)%
				Common Stocks — (45.8)%
				Australia — (1.2)%
		(6,832	)	ASX Ltd.		(284,503	)
		(5,025	)	CAR Group Ltd.		(117,337	)
		(1,760	)	Cochlear Ltd.		(379,266	)
		(18,551	)	IDP Education Ltd.		(198,498	)
		(50,175	)	Lottery Corp. Ltd.		(163,392	)
		(685	)	Mineral Resources Ltd.		(32,913	)
		(6,150	)	Ramsay Health Care Ltd.		(193,545	)
		(201	)	REA Group Ltd.		(25,137	)
		(5,791	)	WiseTech Global Ltd.		(376,382	)
		(5,983	)	Xero Ltd. *		(543,222	)
				Total Australia		(2,314,195	)
				Austria — (0.1)%
		(3,070	)	Verbund AG		(252,068	)
				Belgium — (0.3)%
		(7,574	)	Anheuser-Busch InBev SA		(477,856	)
		(9	)	Lotus Bakeries NV		(95,498	)
				Total Belgium		(573,354	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Canada — (2.2)%
	(2,192	)	Agnico Eagle Mines Ltd.		(149,516	)
	(22,400	)	AltaGas Ltd.		(505,374	)
	(7,039	)	Brookfield Renewable Corp. – Class A		(222,010	)
	(10,540	)	Cameco Corp.		(585,075	)
	(14,941	)	Enbridge, Inc.		(546,542	)
	(4,015	)	Franco-Nevada Corp.		(497,057	)
	(14,745	)	GFL Environmental, Inc.		(464,025	)
	(7,516	)	Pan American Silver Corp.		(165,352	)
	(15,296	)	Pembina Pipeline Corp.		(567,941	)
	(6,460	)	Restaurant Brands International, Inc.		(443,027	)
			Total Canada		(4,145,919	)
			China — (0.0)%
	(565	)	Yum China Holdings, Inc.		(20,204	)
			Denmark — (0.2)%
	(3,031	)	Coloplast AS – Class B		(364,560	)
	(648	)	Novo Nordisk AS – Class B		(87,796	)
			Total Denmark		(452,356	)
			Finland — (0.0)%
	(1,979	)	Elisa OYJ		(92,213	)
			France — (1.0)%
	(9,647	)	Accor SA *		(420,865	)
	(2,384	)	Aeroports de Paris SA		(341,617	)
	(26,150	)	Getlink SE		(460,829	)
	(223	)	Hermes International SCA		(529,317	)
	(163	)	Sartorius Stedim Biotech		(32,470	)
			Total France		(1,785,098	)
			Germany — (1.5)%
	(2,262	)	adidas AG		(572,897	)
	(540	)	Covestro AG *		(29,095	)
	(14,829	)	Delivery Hero SE *		(454,240	)
	(1,978	)	MTU Aero Engines AG		(494,100	)
	(316	)	Rational AG		(269,664	)
	(21	)	Rheinmetall AG		(12,105	)
	(7,023	)	Siemens Energy AG *		(191,245	)
	(4,030	)	Symrise AG		(481,386	)
	(2,212	)	Talanx AG		(176,444	)
	(888	)	Vonovia SE		(27,915	)
	(2,716	)	Zalando SE *		(72,135	)
			Total Germany		(2,781,226	)
			Ireland — (0.8)%
	(32,145	)	Smurfit Kappa Group PLC		(1,567,807	)
			Israel — (0.3)%
	(2,099	)	CyberArk Software Ltd. *		(481,196	)
	(261	)	Monday.com Ltd. *		(58,962	)
			Total Israel		(540,158	)

Shares			Description	Value ($)
			Italy — (1.0)%
	(12,146	)	Amplifon SpA		(448,954	)
	(20	)	DiaSorin SpA		(2,158	)
	(1,316	)	Ferrari NV		(542,300	)
	(32,479	)	FinecoBank Banca Fineco SpA		(526,762	)
	(34,731	)	Infrastrutture Wireless Italiane SpA		(380,788	)
			Total Italy		(1,900,962	)
			Japan — (2.7)%
	(21,800	)	Aeon Co. Ltd.		(470,207	)
	(6,800	)	Asahi Intecc Co. Ltd.		(98,265	)
	(1,400	)	Disco Corp.		(550,702	)
	(2,000	)	East Japan Railway Co.		(34,683	)
	(400	)	Ibiden Co. Ltd.		(16,175	)
	(16,700	)	Japan Exchange Group, Inc.		(392,533	)
	(3,700	)	Keisei Electric Railway Co. Ltd.		(132,891	)
	(6,800	)	Kintetsu Group Holdings Co. Ltd.		(144,569	)
	(7,300	)	Kobe Bussan Co. Ltd.		(161,466	)
	(2,000	)	Lasertec Corp.		(514,232	)
	(500	)	McDonald’s Holdings Co. Japan Ltd.		(20,481	)
	(22,500	)	MonotaRO Co. Ltd.		(237,677	)
	(16,000	)	Oriental Land Co. Ltd.		(447,306	)
	(90,600	)	Rakuten Group, Inc. *		(471,222	)
	(3,200	)	Sharp Corp. *		(19,773	)
	(6,800	)	Shiseido Co. Ltd.		(215,813	)
	(41,700	)	SoftBank Corp.		(499,992	)
	(3,500	)	SoftBank Group Corp.		(202,536	)
	(4,700	)	Tobu Railway Co. Ltd.		(83,065	)
	(20,000	)	Tokyu Corp.		(233,339	)
	(2,400	)	West Japan Railway Co.		(47,881	)
	(1,700	)	Zensho Holdings Co. Ltd.		(66,936	)
			Total Japan		(5,061,744	)
			Netherlands — (0.9)%
	(337	)	Adyen NV *		(437,016	)
	(2,907	)	BE Semiconductor Industries NV		(432,468	)
	(7,827	)	OCI NV		(214,663	)
	(17,182	)	Universal Music Group NV		(535,454	)
			Total Netherlands		(1,619,601	)
			Peru — (0.3)%
	(4,370	)	Southern Copper Corp.		(518,413	)
			Singapore — (0.4)%
	(126,597	)	Grab Holdings Ltd. – Class A *		(464,611	)
	(239,624	)	Seatrium Ltd. *		(312,782	)
	(5,100	)	Singapore Airlines Ltd.		(25,610	)
			Total Singapore		(803,003	)
			Spain — (0.6)%
	(14,075	)	Cellnex Telecom SA *		(514,161	)
	(14,066	)	Ferrovial SE		(555,898	)
			Total Spain		(1,070,059	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Sweden — (0.5)%
	(15,618	)	Beijer Ref AB		(255,663	)
	(14,621	)	EQT AB		(447,867	)
	(22	)	Evolution AB		(2,373	)
	(7,721	)	H & M Hennes & Mauritz AB – Class B		(136,524	)
			Total Sweden		(842,427	)
			Switzerland — (0.3)%
	(2,176	)	Avolta AG		(88,354	)
	(332	)	Bachem Holding AG		(30,015	)
	(154	)	Partners Group Holding AG		(207,257	)
	(4,112	)	SIG Group AG		(85,643	)
	(180	)	VAT Group AG		(98,710	)
			Total Switzerland		(509,979	)
			United Kingdom — (2.3)%
	(2,515	)	Admiral Group PLC		(87,257	)
	(45,970	)	Auto Trader Group PLC		(483,580	)
	(2,274	)	Flutter Entertainment PLC *		(437,596	)
	(19,193	)	Hargreaves Lansdown PLC		(260,555	)
	(50,713	)	Informa PLC		(551,961	)
	(4,659	)	InterContinental Hotels Group PLC		(473,116	)
	(4,809	)	London Stock Exchange Group PLC		(563,694	)
	(51,501	)	M&G PLC		(131,674	)
	(2,468	)	Melrose Industries PLC		(19,530	)
	(34,626	)	Phoenix Group Holdings PLC		(220,332	)
	(93,834	)	Rolls-Royce Holdings PLC *		(548,072	)
	(7,074	)	Severn Trent PLC		(216,159	)
	(520	)	Spirax-Sarco Engineering PLC		(59,462	)
	(28,138	)	Wise PLC – Class A *		(295,675	)
			Total United Kingdom		(4,348,663	)
			United States — (29.2)%
	(1,956	)	AbbVie, Inc.		(315,385	)
	(27,474	)	AES Corp.		(593,164	)
	(17,044	)	Alcoa Corp.		(754,538	)
	(3,071	)	Alnylam Pharmaceuticals, Inc. *		(455,829	)
	(8,103	)	Amedisys, Inc. *		(738,588	)
	(1,181	)	American Tower Corp. – (REIT)		(231,169	)
	(1,733	)	Amgen, Inc.		(530,038	)
	(765	)	Analog Devices, Inc.		(179,385	)
	(2,183	)	Arthur J Gallagher & Co.		(553,019	)
	(1,637	)	Axon Enterprise, Inc. *		(461,094	)
	(1,749	)	Bill Holdings, Inc. *		(91,035	)
	(2,850	)	Boeing Co. *		(506,189	)
	(438	)	Broadcom, Inc.		(581,905	)
	(2,249	)	Burlington Stores, Inc. *		(539,872	)
	(10,964	)	Caesars Entertainment, Inc. *		(389,880	)
	(5,361	)	Celsius Holdings, Inc. *		(428,773	)
	(8,676	)	Charter Communications, Inc. – Class A *		(2,491,053	)
	(18,676	)	Chesapeake Energy Corp.		(1,698,209	)
	(31,406	)	Chevron Corp.		(5,097,194	)

Shares			Description	Value ($)
			United States — continued
	(170	)	Chipotle Mexican Grill, Inc. *		(532,018	)
	(5,799	)	Cloudflare, Inc. – Class A *		(392,534	)
	(1,052	)	Coinbase Global, Inc. – Class A *		(237,668	)
	(133,034	)	Crescent Energy Co.		(1,676,228	)
	(7,100	)	Dayforce, Inc. *		(351,166	)
	(4,394	)	Dexcom, Inc. *		(521,875	)
	(964	)	Dominion Energy, Inc.		(51,979	)
	(11,997	)	DraftKings, Inc. – Class A *		(421,455	)
	(29,968	)	EQT Corp.		(1,231,385	)
	(1,494	)	Equity LifeStyle Properties, Inc. – (REIT)		(93,778	)
	(723	)	Erie Indemnity Co. – Class A		(262,037	)
	(7,670	)	Exact Sciences Corp. *		(348,602	)
	(429	)	Fair Isaac Corp. *		(553,380	)
	(309	)	Fastenal Co.		(20,388	)
	(7,880	)	Fidelity National Information Services, Inc.		(597,934	)
	(434	)	Fortinet, Inc. *		(25,745	)
	(959	)	Gartner, Inc. *		(402,464	)
	(846	)	HubSpot, Inc. *		(516,948	)
	(1,551	)	Hyatt Hotels Corp. – Class A		(228,726	)
	(2,546	)	Insulet Corp. *		(451,126	)
	(73,982	)	International Paper Co.		(3,335,848	)
	(1,816	)	IQVIA Holdings, Inc. *		(397,867	)
	(3,492	)	Iron Mountain, Inc. – (REIT)		(281,769	)
	(25,227	)	Juniper Networks, Inc.		(899,847	)
	(28,816	)	Kroger Co.		(1,509,094	)
	(575	)	Lamb Weston Holdings, Inc.		(50,767	)
	(4,761	)	Lattice Semiconductor Corp. *		(353,457	)
	(91,377	)	Liberty Global Ltd. – Class C *		(1,559,805	)
	(15,506	)	Liberty Media Corp.-Liberty Formula One – Class C *		(1,149,615	)
	(1,284	)	Linde PLC		(559,208	)
	(5,464	)	Live Nation Entertainment, Inc. *		(512,195	)
	(1,001	)	Manhattan Associates, Inc. *		(219,760	)
	(695	)	MarketAxess Holdings, Inc.		(138,256	)
	(959	)	Marvell Technology, Inc.		(65,989	)
	(1,212	)	Mastercard, Inc. – Class A		(541,849	)
	(937	)	McKesson Corp.		(533,706	)
	(342	)	MercadoLibre, Inc. *		(590,148	)
	(1,290	)	MongoDB, Inc. *		(304,517	)
	(1,004	)	Moody’s Corp.		(398,578	)
	(83	)	Motorola Solutions, Inc.		(30,288	)
	(1,000	)	MSCI, Inc.		(495,180	)
	(13,824	)	Newmont Corp.		(579,779	)
	(4,315	)	NiSource, Inc.		(125,394	)
	(5,001	)	Okta, Inc. *		(443,489	)
	(7,151	)	ONEOK, Inc.		(579,231	)
	(22,294	)	Palantir Technologies, Inc. – Class A *		(483,334	)
	(461	)	Palo Alto Networks, Inc. *		(135,954	)
	(3,390	)	Paychex, Inc.		(407,342	)
	(1,321	)	PTC, Inc. *		(232,813	)
	(2,676	)	Repligen Corp. *		(398,965	)
	(19,037	)	Rivian Automotive, Inc. – Class A *		(207,884	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(12,197	)	ROBLOX Corp. – Class A *		(410,063	)
	(6,495	)	Roku, Inc. *		(372,813	)
	(11,007	)	Rollins, Inc.		(502,910	)
	(7,666	)	Samsara, Inc. – Class A *		(260,107	)
	(41,183	)	Schlumberger NV		(1,889,888	)
	(864	)	Seagate Technology Holdings PLC		(80,559	)
	(717	)	Simon Property Group, Inc. – (REIT)		(108,489	)
	(1,794	)	Snap, Inc. – Class A *		(26,946	)
	(3,272	)	Snowflake, Inc. – Class A *		(445,581	)
	(431	)	Starbucks Corp.		(34,575	)
	(74	)	Super Micro Computer, Inc. *		(58,054	)
	(3,254	)	Synopsys, Inc. *		(1,824,843	)
	(2,991	)	Tesla, Inc. *		(532,637	)
	(119	)	Texas Pacific Land Corp.		(73,103	)
	(21,103	)	Toast, Inc. – Class A *		(511,326	)
	(1,221	)	Trade Desk, Inc. – Class A *		(113,284	)
	(434	)	TransDigm Group, Inc.		(582,962	)
	(3,548	)	Uber Technologies, Inc. *		(229,059	)
	(5,789	)	Unity Software, Inc. *		(105,765	)
	(1,900	)	Vail Resorts, Inc.		(358,568	)
	(1,509	)	Vistra Corp.		(149,512	)
	(1,110	)	Watsco, Inc.		(527,139	)
	(14,328	)	Williams Cos., Inc.		(594,755	)
	(31,779	)	WillScot Mobile Mini Holdings Corp. *		(1,253,046	)
	(918	)	Zillow Group, Inc. – Class C *		(37,592	)
	(2,402	)	Zscaler, Inc. *		(408,244	)
			Total United States		(54,567,503	)
			TOTAL COMMON STOCKS (PROCEEDS $81,913,658)		(85,766,952	)

Shares / Par Value†			Description	Value ($)
			PREFERRED STOCKS (f) — (0.2)%
			Germany — (0.2)%
	(1,370	)	Sartorius AG		(363,143	)
			TOTAL PREFERRED STOCKS (PROCEEDS $542,827)		(363,143	)
			DEBT OBLIGATIONS — (14.4)%
			United States — (14.4)%
			U.S. Government Agency — (14.4)%
	(30,000,000	)	Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/39		(26,964,014	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $26,885,156)		(26,964,014	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $109,341,641)		(113,094,109	)
			Other Assets and Liabilities (net) — (5.4)%		(9,997,555	)
			TOTAL NET ASSETS — 100.0%		$187,109,414

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/29/2024	UBSA		AUD	291,689		USD	194,974		593
06/04/2024	BCLY		BRL	5,393,398		USD	1,037,791		10,653
06/04/2024	MSCI		BRL	8,878,578		USD	1,713,702		22,835
08/23/2024	GS		CLP	90,000,000		USD	100,012		2,042
08/23/2024	MSCI		CLP	90,000,000		USD	99,061		1,091
07/29/2024	SSB		IDR	1,185,857,000		USD	72,921		99
08/09/2024	CITI		ILS	717,605		USD	194,890		669
08/06/2024	MSCI		INR	6,000,000		USD	72,022		254
08/06/2024	SSB		INR	10,000,000		USD	119,764		151
08/13/2024	CITI		JPY	330,454,400		USD	2,154,216		30,668
07/29/2024	DB		JPY	1,198,006,614		USD	7,713,807		32,433
07/24/2024	GS		JPY	221,000,000		USD	1,421,734		5,791
07/16/2024	MSCI		JPY	2,000,000,000		USD	13,405,733		607,146
07/24/2024	MSCI		JPY	90,000,000		USD	579,174		2,546
07/29/2024	SSB		JPY	1,198,006,613		USD	7,712,977		31,604
08/23/2024	SSB		KRW	270,000,000		USD	197,972		1,894

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/04/2024	BCLY		MXN	37,504,948		USD	2,212,982		2,452
06/04/2024	JPM		MXN	4,160,874		USD	248,126		2,886
06/04/2024	MSCI		MXN	37,504,948		USD	2,211,377		847
07/16/2024	BOA		NOK	4,600,000		USD	439,592		887
06/26/2024	SSB		NOK	16,054,183		USD	1,533,676		3,335
06/25/2024	MSCI		PEN	1,040,000		USD	280,685		1,593
07/29/2024	CITI		PHP	5,000,000		USD	85,447		72
08/20/2024	JPM		PLN	1,150,000		USD	292,605		951
07/24/2024	CITI		SGD	360,000		USD	267,305		238
07/24/2024	MSCI		SGD	120,000		USD	89,045		22
08/20/2024	BCLY		THB	25,552,251		USD	711,348		12,543
08/20/2024	MSCI		THB	3,300,000		USD	91,848		1,599
08/20/2024	SSB		THB	3,900,000		USD	107,566		909
07/24/2024	GS		TWD	3,300,000		USD	103,270		1,598
07/24/2024	SSB		TWD	15,300,000		USD	474,616		3,227
06/11/2024	CITI		USD	212,258		AUD	320,000		697

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/27/2024	MSCI		USD	447,466		AUD	688,151		10,702
06/11/2024	SSB		USD	852,570		AUD	1,290,000		5,904
07/10/2024	BCLY		USD	7,554,979		CAD	10,367,332		57,204
06/28/2024	MSCI		USD	811,191		CAD	1,110,000		3,622
06/28/2024	SSB		USD	2,517,580		CAD	3,432,285		1,944
07/12/2024	DB		USD	2,086,258		CHF	1,880,000		6,215
07/16/2024	BOA		USD	119,040		CZK	2,800,000		4,063
07/16/2024	BBH		USD	101,028		CZK	2,400,000		4,489
07/16/2024	MSCI		USD	152,108		CZK	3,600,000		6,168
07/31/2024	CITI		USD	651,288		EUR	600,000		1,417
07/31/2024	JPM		USD	1,726,111		EUR	1,586,880		164
07/31/2024	MSCI		USD	695,101		EUR	640,000		1,118
07/16/2024	BCLY		USD	1,086,969		GBP	870,000		21,860
07/29/2024	BCLY		USD	3,432,549		GBP	2,696,883		4,892
07/16/2024	SSB		USD	596,805		GBP	470,000		2,218
08/09/2024	MSCI		USD	108,013		ILS	400,000		248
08/06/2024	BCLY		USD	311,332		INR	26,073,064		535
07/16/2024	BOA		USD	309,726		NOK	3,400,000		14,534
06/26/2024	BCLY		USD	197,060		NOK	2,154,727		8,336
07/16/2024	CITI		USD	5,156,292		NOK	56,027,768		187,113
06/26/2024	MSCI		USD	17,829,945		NOK	194,370,471		698,128
08/30/2024	CITI		USD	770,873		NZD	1,260,000		3,613
06/25/2024	CITI		USD	74,557		PEN	280,000		583
06/25/2024	GS		USD	191,987		PEN	720,000		1,230
07/25/2024	DB		USD	54,458		RON	250,000		9
07/10/2024	BCLY		USD	2,478,611		SEK	26,755,521		68,274
07/10/2024	GS		USD	198,260		SEK	2,100,000		1,642
07/24/2024	SSB		USD	120,061		TWD	3,900,000		96
06/28/2024	BOA		USD	115,753		ZAR	2,200,000		1,132
06/28/2024	MSCI		USD	20,969		ZAR	400,000		283
06/11/2024	CITI		AUD	2,630,000		USD	1,745,215		(5,006	)
06/27/2024	MSCI		AUD	4,370,576		USD	2,862,432		(47,476	)
07/29/2024	MSCI		AUD	9,630,269		USD	6,392,717		(24,890	)
06/28/2024	BCLY		CAD	2,830,000		USD	2,067,385		(10,022	)
07/12/2024	DB		CHF	290,000		USD	321,658		(1,117	)
07/12/2024	MSCI		CHF	6,577,275		USD	7,290,653		(29,972	)
07/31/2024	SSB		CHF	5,926,098		USD	6,541,994		(68,136	)
07/31/2024	UBSA		CHF	5,926,098		USD	6,542,680		(67,450	)
08/23/2024	GS		COP	280,000,000		USD	71,331		(217	)
07/16/2024	CITI		CZK	1,400,000		USD	61,468		(83	)
07/16/2024	GS		CZK	8,570,976		USD	360,353		(16,474	)
07/31/2024	MSCI		EUR	5,040,000		USD	5,416,462		(66,263	)
07/16/2024	CITI		GBP	680,000		USD	854,481		(12,190	)
06/14/2024	DB		HUF	75,479,461		USD	210,040		(42	)
08/06/2024	MSCI		INR	9,000,000		USD	107,481		(171	)
07/16/2024	BOA		NOK	3,400,000		USD	323,206		(1,054	)
06/26/2024	BCLY		NOK	18,360,344		USD	1,727,456		(22,716	)
07/16/2024	CITI		NOK	7,900,000		USD	739,193		(14,235	)
07/31/2024	SSB		NZD	3,559,105		USD	2,185,491		(2,273	)
08/30/2024	SSB		NZD	6,600,000		USD	4,047,755		(9,076	)
08/20/2024	CITI		PLN	50,000		USD	12,639		(42	)
07/25/2024	BCLY		RON	3,541,896		USD	760,783		(10,882	)
07/25/2024	CITI		RON	700,000		USD	152,216		(292	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/10/2024	BOA		SEK	5,500,000		USD	523,028		(523	)
07/15/2024	BCLY		SEK	2,512,612		USD	233,293		(5,945	)
07/15/2024	DB		SEK	3,583,750		USD	331,157		(10,070	)
07/24/2024	CITI		SGD	160,000		USD	117,858		(838	)
07/24/2024	SSB		SGD	885,848		USD	654,043		(3,126	)
08/20/2024	MSCI		THB	9,000,000		USD	246,114		(19	)
07/24/2024	CITI		TWD	21,343,349		USD	656,886		(696	)
06/04/2024	BCLY		USD	1,144,669		BRL	5,741,429		(51,251	)
08/02/2024	BCLY		USD	1,031,420		BRL	5,393,398		(10,019	)
06/04/2024	MSCI		USD	1,700,667		BRL	8,530,547		(76,080	)
08/02/2024	MSCI		USD	1,565,463		BRL	8,182,516		(15,859	)
08/02/2024	SSB		USD	124,046		BRL	650,000		(949	)
08/23/2024	MSCI		USD	546,002		CLP	484,096,500		(19,034	)
08/23/2024	GS		USD	30,667		COP	120,000,000		(3	)
08/23/2024	MSCI		USD	509,342		COP	1,975,101,500		(4,646	)
07/31/2024	CITI		USD	991,071		EUR	910,000		(1,135	)
07/31/2024	MSCI		USD	3,854,623		EUR	3,541,729		(1,781	)
07/16/2024	BCLY		USD	972,512		GBP	760,000		(3,880	)
07/29/2024	DB		USD	439,789		GBP	344,161		(1,122	)
06/14/2024	CITI		USD	167,594		HUF	60,000,000		(597	)
07/29/2024	CITI		USD	49,373		IDR	800,000,000		(247	)
07/29/2024	SSB		USD	160,730		IDR	2,600,000,000		(1,069	)
08/09/2024	CITI		USD	82,078		ILS	300,000		(883	)
08/09/2024	MSCI		USD	313,638		ILS	1,150,000		(2,390	)
07/29/2024	BCLY		USD	422,367		JPY	65,774,709		(633	)
07/24/2024	DB		USD	619,509		JPY	95,000,000		(10,846	)
07/29/2024	JPM		USD	448,298		JPY	69,667,177		(1,606	)
07/24/2024	MSCI		USD	6,518,574		JPY	994,915,155		(144,172	)
08/23/2024	CITI		USD	21,195		KRW	28,830,175		(258	)
06/04/2024	BCLY		USD	2,350,118		MXN	39,585,384		(16,968	)
08/02/2024	BCLY		USD	2,192,541		MXN	37,504,948		(2,366	)
07/16/2024	DB		USD	222,584		MXN	3,800,000		(88	)
07/16/2024	JPM		USD	924,643		MXN	15,618,725		(10,145	)
06/04/2024	MSCI		USD	2,346,899		MXN	39,585,385		(13,749	)
08/02/2024	MSCI		USD	2,190,991		MXN	37,504,948		(816	)
06/25/2024	BCLY		USD	75,869		PEN	280,000		(729	)
06/25/2024	GS		USD	118,996		PEN	440,000		(918	)
06/25/2024	JPM		USD	75,417		PEN	280,000		(277	)
06/25/2024	MSCI		USD	75,414		PEN	280,000		(274	)
07/29/2024	CITI		USD	86,550		PHP	5,000,000		(1,175	)
08/20/2024	CITI		USD	101,869		PLN	400,000		(424	)
08/20/2024	MSCI		USD	76,300		PLN	300,000		(216	)
07/25/2024	DB		USD	87,195		RON	400,000		(48	)
07/24/2024	MSCI		USD	65,069		TWD	2,100,000		(368	)
06/28/2024	BOA		USD	248,197		ZAR	4,600,000		(3,803	)
06/28/2024	CITI		USD	162,640		ZAR	3,000,000		(3,252	)
06/28/2024	MSCI		USD	195,871		ZAR	3,600,000		(4,605	)
06/28/2024	SSB		USD	218,720		ZAR	4,000,000		(6,203	)
07/31/2024	SSB		USD	254,911		ZAR	4,683,635		(6,753	)
06/28/2024	BNYM		ZAR	2,000,000		USD	104,806		(1,452	)
								$	1,047,676

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
5	Australia Government Bond 10 Yr.	June 2024		374,791		(9,735	)
42	CAC40 10 Euro	June 2024		3,666,593		(65,947	)
30	CBOE Volatility Index (g)	June 2024		413,688		(3,693	)
67	Cotton (g)	July 2024		2,551,025		(151,812	)
1	DAX Index	June 2024		506,365		(6,160	)
23	FTSE MIB Index	June 2024		4,342,615		121,884
184	Iron Ore (g)	July 2024		2,124,832		(96,653	)
7	Live Cattle Futures (g)	August 2024		499,660		(6,316	)
19	Natural Gas (g)	June 2024		491,530		13,663
28	NY Harbor ULSD Futures (g)	June 2024		2,803,819		(95,235	)
11	NYMEX Platinum Futures (g)	July 2024		573,100		56,867
15	RBOB Gasoline (g)	June 2024		1,522,962		(48,023	)
73	S&P 500 E-Mini	June 2024		19,328,575		252,099
155	Soybean (g)	July 2024		9,338,750		123,229
53	Soybean Meal (g)	July 2024		1,932,910		133,442
33	Soybean Oil (g)	July 2024		901,296		(5,052	)
140	Sugar (g)	June 2024		2,869,440		(322,724	)
7	Swiss Market New Index
	Futures	June 2024		936,352		6,658
8	TOPIX Index	June 2024		1,413,766		15,168
7	U.S. Long Bond (CBT)	September 2024		812,437		(6,548	)
39	U.S. Treasury Note 5 Yr. (CBT)	September 2024		4,126,078		(10,377	)
2	U.S. Treasury Ultra 10 Yr. (CBT)	September 2024		224,063		(750	)
34	UK Gilt Long Bond	September 2024		4,173,018		(32,353	)
			$	65,927,665	$	(138,368	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
13	Canadian Government Bond 10 Yr.	September 2024		1,133,893		2,790
29	Cocoa (g)	July 2024		2,705,990		(8,448	)
8	Cocoa (g)	September 2024		686,880		(65,800	)
31	Coffee (g)	July 2024		2,584,819		(123,713	)
59	Copper (g)	July 2024		6,787,950		(371,058	)
331	Corn (g)	July 2024		7,385,438		182,838
137	E-mini Russell 2000 Index	June 2024		14,219,230		149,322
9	Euro Bund	June 2024		1,263,063		23,637
7	Euro Bund	September 2024		987,243		(428	)
2	FTSE 100 Index	June 2024		212,432		495
77	FTSE Taiwan Index	June 2024		5,564,686		140,501
7	Gold (g)	August 2024		1,642,060		30,455
39	Hang Seng Index	June 2024		4,507,346		151,211
188	IFSC NIFTY 50 Index	June 2024		8,530,688		149,177
50	KOSPI 200 Index	June 2024		3,261,483		6,584
34	Lean Hogs (g)	July 2024		1,320,900		65,829
34	MSCI Singapore	June 2024		778,877		6,215
4	OMX Stockholm 30 Index	June 2024		99,820		454
16	S&P/TSX 60	June 2024		3,132,969		(11,379	)
34	Silver (g)	July 2024		5,174,800		(413,795	)
8	U.S. Treasury Note 10 Yr. (CBT)	September 2024		870,375		1,751
4	U.S. Treasury Note 2 Yr. (CBT)	September 2024		814,813		(168	)
6	U.S. Ultra Bond (CBT)	September 2024		734,625		7,887
33	WCE Canola Futures (g)	July 2024		320,085		(9,002	)
159	Wheat (g)	July 2024		5,394,075		(846,490	)
25	WTI Crude (g)	June 2024		1,924,750		42,018
			$	82,039,290	$	(889,117	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount				Value ($)
Index Options – Puts
S&P 500 Index		4,970.00	06/07/24		(4	)		USD	(2,111,004	)		(160	)
S&P 500 Index		5,100.00	06/14/24		(4	)		USD	(2,111,004	)		(2,800	)
S&P 500 Index		5,130.00	06/21/24		(4	)		USD	(2,111,004	)		(5,640	)
S&P 500 Index		5,225.00	06/28/24		(4	)		USD	(2,111,004	)		(14,760	)
S&P 500 Index		5,305.00	07/05/24		(4	)		USD	(2,111,004	)		(27,040	)
S&P 500 Index		5,300.00	07/12/24		(4	)		USD	(2,111,004	)		(28,640	)
S&P 500 Index		5,275.00	07/19/24		(4	)		USD	(2,111,004	)		(27,916	)
		Total Index Options – Puts										(106,956	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Written Options — continued

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate	Value ($)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.42	GS	104.50%		06/20/24		USD	(14,820,000	)		Fixed Spread	Pay		(7,453	)
CDX.NA.HYS.42	GS	75.00%		06/20/24		USD	(13,500,000	)		Fixed Spread	Pay		(851	)
CDX.NA.HYS.42	GS	106.00%		07/17/24		USD	(22,020,000	)		Fixed Spread	Pay		(123,703	)
				Total Written Options On Credit Default Swaps – Puts									(132,007	)
				TOTAL WRITTEN OPTIONS (Premiums $564,550)								$	(238,963	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S42		USD	12,513,000		5.00	%		3.36	%		N/A		06/20/2029		Quarterly		(830,117	)		(844,878	)		(14,761	)
CDX.NA.IG.S42		USD	86,640,000		1.00	%		0.50	%		N/A		06/20/2029		Quarterly		(1,884,037	)		(1,938,050	)		(54,013	)
																$	(2,714,154	)	$	(2,782,928	)	$	(68,774	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S33	CITI	USD	2,222,000		5.00%		0.08%		N/A		12/20/2024		Quarterly		(53,637	)		(60,236	)		(6,599	)
CDX.NA.HY.S41	MORD	USD	2,723,000		5.00%		4.01%		N/A		12/20/2028		Quarterly		(109,080	)		(106,422	)		2,658
CDX.NA.HY.S41	MORD	USD	2,723,000		5.00%		1.57%		N/A		12/20/2028		Quarterly		(372,231	)		(380,697	)		(8,466	)
CMBX.NA.BBB-.11	CGMI	USD	1,886,000		3.00%		7.74%		N/A		11/18/2054		Monthly		397,828			244,708			(153,120	)
CMBX.NA.BBB-.9	MLCS	USD	1,973,000		3.00%		17.38%		N/A		09/17/2058		Monthly		158,620			328,751			170,131
CMBX.NA.A.15	CGMI	USD	2,222,000		2.00%		3.16%		N/A		11/18/2064		Monthly		266,640			140,014			(126,626	)
CMBX.NA.BBB-.14	CGMI	USD	576,500		3.00%		7.78%		N/A		12/16/2072		Monthly		162,861			118,038			(44,823	)
Sell Protection^:
CDX.NA.HY.S33	CITI	USD	4,388,727		5.00%		0.04%		4,388,727 USD		12/20/2024		Quarterly		756,836			119,747			(637,089	)
CDX.NA.HY.S41	MORD	USD	19,058,000		5.00%		0.42%		19,058,000 USD		12/20/2028		Quarterly		3,519,464			3,464,708			(54,756	)
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		6.57%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(62,452	)		(29,356	)
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		6.57%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(99,924	)		(55,322	)
CMBX.NA.A.9	MLCS	USD	1,350,000		2.00%		6.57%		1,350,000 USD		09/17/2058		Monthly		2,641			(75,785	)		(78,426	)
CMBX.NA.A.9	MORD	USD	2,222,000		2.00%		6.57%		2,222,000 USD		09/17/2058		Monthly		(204,146	)		(124,736	)		79,410
CMBX.NA.AAA.10	GS	USD	4,610,000		0.50%		0.58%		4,610,000 USD		11/17/2059		Monthly		42,163			(7,622	)		(49,785	)
CMBX.NA.AAA.15	CGMI	USD	4,445,000		0.50%		0.71%		4,445,000 USD		11/18/2064		Monthly		(165,846	)		(54,581	)		111,265
CMBX.NA.AAA.15	GS	USD	1,730,000		0.50%		0.71%		1,730,000 USD		11/18/2064		Monthly		(26,617	)		(21,243	)		5,374
CMBX.NA.AAA.14	CGMI	USD	11,125,000		0.50%		0.68%		11,125,000 USD		12/16/2072		Monthly		(218,513	)		(103,464	)		115,049
														$	4,079,285		$	3,318,804		$	(760,481	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.91%	3 Month AUD BBSW	AUD	7,000,000		06/19/2026	Quarterly		—			30,532			30,532
3.92%	3 Month AUD BBSW	AUD	16,000,000		06/19/2026	Quarterly		308			68,673			68,365
3.84%	3 Month AUD BBSW	AUD	4,000,000		06/19/2026	Quarterly		(41	)		21,035			21,076
3 Month AUD BBSW	4.27%	AUD	4,500,000		06/19/2026	Quarterly		—			810			810
CAD-CORRA-OIS-COMPOUND	3.91%	CAD	16,500,000		06/19/2026	Annually		(11,110	)		(52,158	)		(41,048	)
3.94%	CAD-CORRA-OIS-COMPOUND	CAD	4,500,000		06/19/2026	Annually		—			12,132			12,132
4.25%	CAD-CORRA-OIS-COMPOUND	CAD	6,500,000		06/19/2026	Annually		—			(10,134	)		(10,134	)
CHF-SARON-OIS-COMPOUND	0.99%	CHF	29,000,000		06/19/2026	Annually		(4,185	)		(174,060	)		(169,875	)
CHF-SARON-OIS-COMPOUND	1.02%	CHF	6,500,000		06/19/2026	Annually		(671	)		(34,374	)		(33,703	)
0.99%	CHF-SARON-OIS-COMPOUND	CHF	4,000,000		06/19/2026	Annually		1,294			24,264			22,970
1.30%	CHF-SARON-OIS-COMPOUND	CHF	3,000,000		06/19/2026	Annually		—			(2,554	)		(2,554	)
EUR-EuroSTR-COMPOUND	3.16%	EUR	5,500,000		06/19/2026	Annually		—			(3,506	)		(3,506	)
2.76%	EUR-EuroSTR-COMPOUND	EUR	11,000,000		06/19/2026	Annually		(1,273	)		99,468			100,741
GBP-SONIA-COMPOUND	4.15%	GBP	4,500,000		06/19/2026	Annually		—			(58,401	)		(58,401	)
GBP-SONIA-COMPOUND	4.38%	GBP	4,500,000		06/19/2026	Annually		(4,902	)		(34,505	)		(29,603	)
GBP-SONIA-COMPOUND	4.59%	GBP	4,000,000		06/19/2026	Annually		—			(10,017	)		(10,017	)
4.27%	GBP-SONIA-COMPOUND	GBP	3,500,000		06/19/2026	Annually		1,011			35,272			34,261
4.67%	GBP-SONIA-COMPOUND	GBP	5,000,000		06/19/2026	Annually		—			3,161			3,161
4.73%	GBP-SONIA-COMPOUND	GBP	2,000,000		06/19/2026	Annually		—			(1,295	)		(1,295	)
4.70%	3 Month NZD Bank Bill Rate	NZD	7,000,000		06/19/2026	Quarterly		—			29,990			29,990
4.79%	3 Month NZD Bank Bill Rate	NZD	8,500,000		06/19/2026	Quarterly		5,975			27,148			21,173
4.93%	3 Month NZD Bank Bill Rate	NZD	6,500,000		06/19/2026	Quarterly		—			10,409			10,409
3 Month NZD Bank Bill Rate	5.10%	NZD	6,500,000		06/19/2026	Quarterly		—			1,753			1,753
3.27%	3 Month SEK STIBOR	SEK	45,000,000		06/19/2026	Quarterly		—			(1,643	)		(1,643	)
3 Month SEK STIBOR	3.05%	SEK	45,000,000		06/19/2026	Quarterly		(465	)		(16,042	)		(15,577	)
3 Month SEK STIBOR	3.30%	SEK	65,000,000		06/19/2026	Quarterly		—			7,045			7,045
USD-SOFR-COMPOUND	4.52%	USD	2,500,000		06/20/2026	Annually		—			(11,792	)		(11,792	)
4.33%	USD-SOFR-COMPOUND	USD	4,000,000		06/20/2026	Annually		—			32,821			32,821
4.83%	USD-SOFR-COMPOUND	USD	1,000,000		06/20/2026	Annually		(431	)		(1,140	)		(709	)
6 Month AUD BBSW	4.23%	AUD	1,000,000		06/19/2034	Semi-annual		(243	)		(18,506	)		(18,263	)
6 Month AUD BBSW	4.28%	AUD	2,000,000		06/19/2034	Semi-annual		—			(31,731	)		(31,731	)
6 Month AUD BBSW	4.39%	AUD	18,700,000		06/19/2034	Semi-annual		4,521			(188,571	)		(193,092	)
6 Month AUD BBSW	4.39%	AUD	1,600,000		06/19/2034	Semi-annual		—			(16,143	)		(16,143	)
6 Month AUD BBSW	4.39%	AUD	3,800,000		06/19/2034	Semi-annual		1,600			(37,631	)		(39,231	)
4.28%	6 Month AUD BBSW	AUD	1,400,000		06/19/2034	Semi-annual		—			21,988			21,988
4.36%	6 Month AUD BBSW	AUD	1,200,000		06/19/2034	Semi-annual		—			13,800			13,800
4.75%	6 Month AUD BBSW	AUD	1,000,000		06/19/2034	Semi-annual		—			(9,262	)		(9,262	)
4.60%	6 Month AUD BBSW	AUD	8,900,000		06/19/2034	Semi-annual		—			(12,547	)		(12,547	)
4.60%	6 Month AUD BBSW	AUD	1,000,000		06/19/2034	Semi-annual		—			(1,383	)		(1,383	)
CAD-CORRA-OIS-COMPOUND	3.39%	CAD	3,600,000		06/19/2034	Annually		(8,358	)		(44,277	)		(35,919	)
CAD-CORRA-OIS-COMPOUND	3.42%	CAD	1,100,000		06/19/2034	Annually		—			(11,451	)		(11,451	)
CAD-CORRA-OIS-COMPOUND	3.63%	CAD	1,800,000		06/19/2034	Annually		—			4,514			4,514
CAD-CORRA-OIS-COMPOUND	3.77%	CAD	1,500,000		06/19/2034	Annually		—			16,467			16,467
3.40%	CAD-CORRA-OIS-COMPOUND	CAD	3,600,000		06/19/2034	Annually		6,007			41,864			35,857
3.66%	CAD-CORRA-OIS-COMPOUND	CAD	800,000		06/19/2034	Annually		—			(3,201	)		(3,201	)
3.75%	CAD-CORRA-OIS-COMPOUND	CAD	900,000		06/19/2034	Annually		—			(8,619	)		(8,619	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.60%	CAD-CORRA-OIS-COMPOUND	CAD	1,700,000		06/19/2034	Annually		—			(638	)		(638	)
3.69%	CAD-CORRA-OIS-COMPOUND	CAD	1,600,000		06/19/2034	Annually		—			(9,960	)		(9,960	)
CHF-SARON-OIS-COMPOUND	1.13%	CHF	800,000		06/19/2034	Annually		2,303			(16,447	)		(18,750	)
CHF-SARON-OIS-COMPOUND	1.35%	CHF	600,000		06/19/2034	Annually		—			1,215			1,215
1.19%	CHF-SARON-OIS-COMPOUND	CHF	6,110,000		06/19/2034	Annually		(28,707	)		89,099			117,806
1.18%	CHF-SARON-OIS-COMPOUND	CHF	1,200,000		06/19/2034	Annually		5,274			19,445			14,171
EUR-EuroSTR-COMPOUND	2.46%	EUR	2,400,000		06/19/2034	Annually		2,834			(65,043	)		(67,877	)
EUR-EuroSTR-COMPOUND	2.54%	EUR	900,000		06/19/2034	Annually		—			(17,998	)		(17,998	)
EUR-EuroSTR-COMPOUND	2.55%	EUR	1,600,000		06/19/2034	Annually		—			(30,183	)		(30,183	)
EUR-EuroSTR-COMPOUND	2.75%	EUR	3,100,000		06/19/2034	Annually		—			(1,233	)		(1,233	)
2.52%	EUR-EuroSTR-COMPOUND	EUR	2,400,000		06/19/2034	Annually		3,186			53,345			50,159
2.45%	EUR-EuroSTR-COMPOUND	EUR	600,000		06/19/2034	Annually		—			16,816			16,816
2.53%	EUR-EuroSTR-COMPOUND	EUR	1,100,000		06/19/2034	Annually		—			23,245			23,245
2.51%	EUR-EuroSTR-COMPOUND	EUR	1,500,000		06/19/2034	Annually		—			34,531			34,531
2.48%	EUR-EuroSTR-COMPOUND	EUR	1,800,000		06/19/2034	Annually		—			46,453			46,453
2.49%	EUR-EuroSTR-COMPOUND	EUR	600,000		06/19/2034	Annually		—			14,946			14,946
2.54%	EUR-EuroSTR-COMPOUND	EUR	1,000,000		06/19/2034	Annually		—			20,329			20,329
2.61%	EUR-EuroSTR-COMPOUND	EUR	1,200,000		06/19/2034	Annually		—			15,780			15,780
2.73%	EUR-EuroSTR-COMPOUND	EUR	1,300,000		06/19/2034	Annually		—			2,175			2,175
GBP-SONIA-COMPOUND	3.72%	GBP	800,000		06/19/2034	Annually		(2,417	)		(24,157	)		(21,740	)
GBP-SONIA-COMPOUND	3.93%	GBP	1,100,000		06/19/2034	Annually		—			(9,507	)		(9,507	)
GBP-SONIA-COMPOUND	4.06%	GBP	400,000		06/19/2034	Annually		—			1,793			1,793
3.80%	GBP-SONIA-COMPOUND	GBP	1,100,000		06/19/2034	Annually		1,206			24,395			23,189
3.61%	GBP-SONIA-COMPOUND	GBP	1,000,000		06/19/2034	Annually		—			41,352			41,352
3.96%	GBP-SONIA-COMPOUND	GBP	900,000		06/19/2034	Annually		—			5,425			5,425
4.05%	GBP-SONIA-COMPOUND	GBP	1,400,000		06/19/2034	Annually		—			(4,265	)		(4,265	)
4.64%	3 Month NZD Bank Bill Rate	NZD	1,200,000		06/19/2034	Quarterly		—			806			806
4.69%	3 Month NZD Bank Bill Rate	NZD	500,000		06/19/2034	Quarterly		—			(790	)		(790	)
4.69%	3 Month NZD Bank Bill Rate	NZD	1,500,000		06/19/2034	Quarterly		—			(2,369	)		(2,369	)
3 Month NZD Bank Bill Rate	4.46%	NZD	1,600,000		06/19/2034	Quarterly		—			(15,559	)		(15,559	)
3 Month NZD Bank Bill Rate	4.50%	NZD	400,000		06/19/2034	Quarterly		(287	)		(3,029	)		(2,742	)
3 Month NZD Bank Bill Rate	4.50%	NZD	2,100,000		06/19/2034	Quarterly		(1,303	)		(15,694	)		(14,391	)
3 Month NZD Bank Bill Rate	4.57%	NZD	1,600,000		06/19/2034	Quarterly		—			(6,320	)		(6,320	)
3 Month SEK STIBOR	2.85%	SEK	44,000,000		06/19/2034	Quarterly		—			6,889			6,889
3 Month SEK STIBOR	2.91%	SEK	10,000,000		06/19/2034	Quarterly		—			5,911			5,911
2.69%	3 Month SEK STIBOR	SEK	83,000,000		06/19/2034	Quarterly		(4,090	)		100,319			104,409
2.65%	3 Month SEK STIBOR	SEK	8,000,000		06/19/2034	Quarterly		—			11,867			11,867
2.89%	3 Month SEK STIBOR	SEK	15,000,000		06/19/2034	Quarterly		—			(6,961	)		(6,961	)
2.69%	3 Month SEK STIBOR	SEK	11,000,000		06/19/2034	Quarterly		(247	)		12,890			13,137
2.74%	3 Month SEK STIBOR	SEK	8,000,000		06/19/2034	Quarterly		—			5,832			5,832
USD-SOFR-COMPOUND	3.88%	USD	1,000,000		06/20/2034	Annually		—			(21,074	)		(21,074	)
USD-SOFR-COMPOUND	4.22%	USD	200,000		06/20/2034	Annually		455			1,335			880
3.98%	USD-SOFR-COMPOUND	USD	600,000		06/20/2034	Annually		—			7,601			7,601
4.22%	USD-SOFR-COMPOUND	USD	1,300,000		06/20/2034	Annually		(2,938	)		(8,856	)		(5,918	)
							$	(35,694	)	$	11,914		$	47,608

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Markit iBoxx USD Liquid Investment Grade Index	SOFR	JPM	USD	4,497,000		06/20/2024	Quarterly		(24	)		(8,161	)		(8,137	)
Berkshire Hathaway, Inc.	1 Month Federal Funds Rate plus 0.62%	GS	USD	31,049,250		06/21/2024	At Maturity		—			(30,750	)		(30,750	)
1 Month Federal Funds Rate plus 0.06%	Total Return on MSCI World Daily Total Return Net Growth Index	JPM	USD	1,545,519		12/16/2024	Monthly		—			(5,125	)		(5,125	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.17%	JPM	USD	1,782,848		12/16/2024	Monthly		—			25,577			25,577
1 Month Federal Funds Rate plus 0.31%	Total Return on MSCI World Daily Total Return Net Growth Index	GS	USD	3,473,374		04/30/2025	Monthly		—			29,779			29,779
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.24%	GS	USD	3,401,203		04/30/2025	Monthly		—			(18,216	)		(18,216	)
1 Month Federal Funds Rate plus 0.18%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	1,692,344		05/13/2025	Monthly		259			9,542			9,283
Total Return on MSCI World Daily Total Return Net Value Index	1 Month Federal Funds Rate plus 0.25%	UBSA	USD	1,607,087		05/13/2025	Monthly		(249	)		(4,997	)		(4,748	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	GS	USD	2,143,402		06/24/2024	Monthly		—			72,640			72,640
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	2,819,357		06/18/2024	Monthly		—			265,005			265,005
								$	(14	)	$	335,294		$	335,308

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) Securities are traded on separate exchanges for the same entity.

(c) Investment valued using significant unobservable inputs.

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(e) All or a portion of this security is out on loan.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(h) The rate disclosed is the 7 day net yield as of May 31, 2024.

(i) The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2024.

Shares		Description	% of Equity Basket			Value ($)
		Custom equity basket swap with GS as the counterparty:
	(31,948)	Allegro EU SA		14.9	%		(307,425	)
	(1,361)	Bid Corp. Ltd.		1.5	%		(30,182	)
	(348)	Budimex		3.2	%		(66,114	)
	(952)	Capitec Bank Holdings Ltd.		5.2	%		(108,041	)
	(1,801)	CD Projekt SA		2.9	%		(59,690	)
	(11,088)	Clicks Group Ltd.		8.4	%		(174,035	)
	(20,316)	Cosan SA		2.5	%		(52,696	)
	(1,380)	Dino Polska SA		6.7	%		(137,515	)
	(10,569)	Doosan Enerbility Co. Ltd.		7.7	%		(159,375	)
	(58,000)	Genscript Biotech Corp.		3.6	%		(74,570	)
	(27,000)	Gulf Energy Development PCL NVDR		1.4	%		(29,794	)
	(147)	Hanmi Pharm Co. Ltd.		1.5	%		(30,149	)
	(26,600)	Hapvida Participacoes e Investimentos SA		1.0	%		(20,213	)
	(652)	HYBE Co. Ltd.		4.6	%		(94,607	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Shares		Description	% of Equity Basket			Value ($)
	(683)	Kakao Corp.		1.0	%		(21,520	)
	(14,000)	Kingdee International Software Group Co. Ltd.		0.7	%		(14,415	)
	(888)	Korea Aerospace Industries Ltd.		1.6	%		(33,311	)
	(28)	LG Energy Solution Ltd.		0.3	%		(6,744	)
	(2,500)	Localiza Rent A Car ADR		1.0	%		(20,344	)
	(22)	LPP SA		4.7	%		(97,169	)
	(903)	POSCO Chemical Co. Ltd.		8.0	%		(165,058	)
	(30,900)	Rede D’Or Sao Luiz SA		7.8	%		(161,594	)
	(60)	Samsung Biologics Co. Ltd.		1.5	%		(31,653	)
	(12,352)	Samsung Heavy Industries Co. Ltd.		4.0	%		(82,323	)
	(1,586)	Shoprite Holdings Ltd.		1.0	%		(21,087	)
	(333)	SK IE Technology Co. Ltd.		0.5	%		(10,441	)
	(1,156)	Yuhan Corp.		2.8	%		(57,752	)
		TOTAL COMMON STOCKS				$	(2,067,817	)
		Custom equity basket swap with MORD as the counterparty:
	(56,000)	Air China Ltd. – Class H		1.2	%		(29,836	)
	(142,500)	Airports Of Thailand PC NVDR		9.9	%		(252,251	)
	(46,000)	Alibaba Health Information Technology Ltd.		0.8	%		(19,389	)
	(136,000)	Genscript Biotech Corp.		6.9	%		(174,854	)
	(271,800)	Gulf Energy Development PCL NVDR		11.8	%		(299,925	)
	(383)	Hanmi Pharm Co. Ltd.		3.1	%		(78,550	)
	(24,000)	Innovent Biologics, Inc.		4.3	%		(108,621	)
	(2,341)	Kakao Corp.		2.9	%		(73,762	)
	(242,000)	Kingdee International Software Group Co. Ltd.		9.7	%		(249,179	)
	(7,405)	Korea Aerospace Industries Ltd.		10.9	%		(277,780	)
	(56,400)	Nongfu Spring Co. Ltd. – Class H		11.8	%		(300,306	)
	(33)	POSCO Chemical Co. Ltd.		0.2	%		(6,032	)
	(571)	Samsung Biologics Co. Ltd.		11.7	%		(301,229	)
	(40,355)	Samsung Heavy Industries Co. Ltd.		10.5	%		(268,955	)
	(46,500)	Shandong Gold Mining Co. Ltd. –Class H		3.9	%		(100,020	)
	(350)	SK IE Technology Co. Ltd.		0.4	%		(10,974	)
		TOTAL COMMON STOCKS				$	(2,551,663	)

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

BNYM - The Bank of New York Mellon

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MLCS - Merrill Lynch Capital Services, Inc.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 99.9%
	Affiliated Issuers — 99.9%
1,105,325	GMO Climate Change Fund, Class III		26,218,293
4,023,839	GMO Emerging Country Debt Fund, Class VI		78,987,953
1,461,249	GMO High Yield Fund, Class VI		26,375,545
176,686,578	GMO Implementation Fund		2,394,103,132
4,353,020	GMO Opportunistic Income Fund, Class VI		104,559,546
	TOTAL MUTUAL FUNDS (COST $2,553,401,376)		2,630,244,469
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
1,526,944	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		1,526,944
	TOTAL SHORT-TERM INVESTMENTS (COST $1,526,944)		1,526,944
	TOTAL INVESTMENTS — 100.0% (Cost $2,554,928,320)		2,631,771,413
	Other Assets and Liabilities (net) — (0.0%)		(202,859	)
	TOTAL NET ASSETS — 100.0%		$2,631,568,554

Notes to Schedule of Investments: 

(a) The rate disclosed is the 7 day net yield as of May 31, 2024. 

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 76.2%
		Australia — 1.4%
	61,183	Accent Group Ltd. (a)		76,869
	159,858	BHP Group Ltd. (b)		4,757,747
	203,288	BlueScope Steel Ltd.		2,868,778
	166,950	Brambles Ltd. (b)		1,586,950
	2,211	Champion Iron Ltd. (a)		10,358
	46,166	CSR Ltd.		274,012
	68,789	Fortescue Ltd. (b)		1,136,749
	233,592	GPT Group – (REIT) (b)		655,298
	34,665	GrainCorp Ltd. – Class A		192,663
	95,164	Grange Resources Ltd.		24,801
	92,272	Helia Group Ltd.		253,813
	43,009	HomeCo Daily Needs – (REIT) (b)		34,818
	6,092	JB Hi-Fi Ltd.		236,895
	8,334	McMillan Shakespeare Ltd.		91,935
	484,019	Mirvac Group – (REIT) (b)		635,703
	12,512	Nufarm Ltd. (a)		37,406
	59,370	Perenti Ltd.		39,818
	75,544	Perseus Mining Ltd.		118,277
	10,171	Rio Tinto Ltd. (b)		874,853
	244,533	Scentre Group – (REIT) (b)		515,991
	7,526	Sims Ltd. (a)		53,370
	5,834	SmartGroup Corp. Ltd.		31,906
	16,858	Southern Cross Media Group Ltd. (a)		7,967
	197,133	Stockland – (REIT) (b)		594,021
	32,339	Super Retail Group Ltd.		283,640
	5,894	Westpac Banking Corp.		102,352
		Total Australia		15,496,990
		Austria — 0.4%
	31,919	Erste Group Bank AG		1,568,506
	42,728	OMV AG (a)		2,159,407
	39,395	Raiffeisen Bank International AG (a)		728,608
	737	Strabag SE		32,516
	5,591	Wienerberger AG		209,870
		Total Austria		4,698,907
		Belgium — 1.0%
	80,986	Ageas SA		4,040,205
	5,970	Bekaert SA		281,354
	63	Cie d’Entreprises CFE		512
	3,411	Colruyt Group NV		174,455
	21,903	Groupe Bruxelles Lambert NV		1,679,672
	8,178	KBC Group NV		597,245
	452	Melexis NV (a)		41,040
	635	Orange Belgium SA *		10,253
	91,355	Proximus SADP		720,219
	9,432	Syensqo SA		943,985
	15,208	UCB SA (a)		2,133,235
	2,695	Umicore SA (a)		53,378
		Total Belgium		10,675,553

Shares		Description	Value ($)
		Brazil — 0.6%
	3,438	Alupar Investimento SA		19,040
	109,400	Ambev SA		240,847
	12,905	Banco Bradesco SA ADR		31,746
	127,766	Banco do Brasil SA		659,890
	37,200	Banco Santander Brasil SA		196,595
	8,687	BB Seguridade Participacoes SA		53,437
	19,600	Cia de Saneamento de Minas Gerais Copasa MG		75,214
	3,700	Cia De Sanena Do Parana		19,244
	87,317	CPFL Energia SA		567,047
	14,500	Cury Construtora e Incorporadora SA		50,893
	38,700	Engie Brasil Energia SA		319,423
	14,402	Itau Unibanco Holding SA		73,918
	78,200	Magazine Luiza SA *		184,520
	76,266	Petroleo Brasileiro SA Sponsored ADR		1,185,936
	11,300	Petroleo Brasileiro SA		87,587
	24,700	Ser Educacional SA *		23,238
	123,033	TIM SA		371,613
	10,249	TIM SA ADR		156,092
	13,138	Transmissora Alianca de Energia Eletrica SA		85,770
	128,390	Ultrapar Participacoes SA		566,531
	51,466	Vale SA Sponsored ADR (b)		620,165
	6,552	Vale SA		78,860
	158,000	Vibra Energia SA		648,140
		Total Brazil		6,315,746
		Canada — 3.2%
	22,700	Alimentation Couche-Tard, Inc. (b)		1,324,909
	100,976	B2Gold Corp. (c)		282,733
	51,800	B2Gold Corp. (a) (c)		145,942
	22,379	Bank of Nova Scotia (c)		1,059,197
	20,200	Bank of Nova Scotia (a) (c)		956,238
	6,855	Brookfield Asset Management Ltd. – Class A (a)		268,990
	35,433	Brookfield Corp. – Class A		1,540,981
	1,100	BRP, Inc. (a)		68,730
	17,148	Canadian Imperial Bank of Commerce (c)		849,512
	16,000	Canadian Imperial Bank of Commerce (c)		793,338
	16,900	Canadian Tire Corp. Ltd. – Class A (a)		1,686,838
	6,700	Canfor Corp. *		73,639
	23,748	Celestica, Inc. * (c)		1,327,532
	13,838	Celestica, Inc. * (c)		773,821
	2,000	CGI, Inc. * (b)		197,498
	15,700	China Gold International Resources Corp. Ltd. *		108,461
	8,000	CI Financial Corp.		85,873
	2,903	Cogeco, Inc. (a)		101,066
	2,900	DREAM Unlimited Corp. – Class A (a)		40,427
	7,900	Empire Co. Ltd. – Class A		187,161
	5,200	Enerplus Corp.		105,721
	600	EQB, Inc. (a)		38,572
	600	Fairfax Financial Holdings Ltd. (b)		675,436
	8,600	Finning International, Inc.		256,874

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	12,300	Great-West Lifeco, Inc. (b)		368,923
	16,200	iA Financial Corp., Inc.		1,054,762
	3,505	Imperial Oil Ltd. (c)		247,103
	2,400	Imperial Oil Ltd. (a) (c)		169,573
	6,200	Interfor Corp. *		80,698
	6,585	International Petroleum Corp. *		93,167
	1,100	Linamar Corp.		57,310
	15,200	Magna International, Inc. (c)		687,650
	1,495	Magna International, Inc. (c)		67,589
	138,200	Manulife Financial Corp. (b) (c)		3,589,479
	90,050	Manulife Financial Corp. (b) (c)		2,337,698
	24,000	Nutrien Ltd. (b) (c)		1,406,420
	16,850	Nutrien Ltd. (b) (c)		987,579
	9,500	Onex Corp. (a)		673,458
	2,408	Open Text Corp. (b)		70,434
	57,100	Parex Resources, Inc. (a)		937,178
	53,600	Power Corp. of Canada		1,556,148
	38,200	Quebecor, Inc. – Class B (a)		805,789
	7,900	Resolute Forest Products, Inc. * (d)		15,800
	15,000	Russel Metals, Inc.		402,473
	5,900	Sleep Country Canada Holdings, Inc. (a)		111,035
	2,300	Spin Master Corp.		49,039
	10,800	Stella-Jones, Inc. (a)		644,696
	22,100	Sun Life Financial, Inc. (b) (c)		1,107,635
	9,967	Sun Life Financial, Inc. (c)		499,646
	44,500	Toronto-Dominion Bank (c)		2,487,912
	5,044	Toronto-Dominion Bank (b) (c)		282,060
	1,200	Wajax Corp. (a)		23,173
	23,200	West Fraser Timber Co. Ltd. (c)		1,855,898
	4,227	West Fraser Timber Co. Ltd. (a) (c)		338,202
		Total Canada		35,958,016
		Chile — 0.0%
	102,114	Cencosud SA		191,756
	1,091,789	Colbun SA		142,716
	16,246	Empresas CMPC SA		33,998
	11,690	Enel Chile SA ADR		34,369
		Total Chile		402,839
		China — 1.9%
	66,000	361 Degrees International Ltd.		37,772
	254,500	3SBio, Inc.		198,735
	3,289,000	Agricultural Bank of China Ltd. – Class H		1,378,849
	29,029	Alibaba Group Holding Ltd. Sponsored ADR (b)		2,274,132
	257,500	BAIC Motor Corp. Ltd. – Class H		73,558
	426,091	Bank of Communications Co. Ltd. – Class H		321,597
	71,000	Beijing Enterprises Holdings Ltd.		250,275
	984,000	China Cinda Asset Management Co. Ltd. – Class H		94,689
	144,000	China Communications Services Corp. Ltd. – Class H		69,270
	5,151,000	China Construction Bank Corp. – Class H		3,655,789

Shares		Description	Value ($)
		China — continued
	66,000	China Dongxiang Group Co. Ltd.		3,129
	448,000	China Energy Engineering Corp. Ltd. – Class H *		51,139
	298,000	China Everbright Environment Group Ltd.		139,126
	1,058,000	China Greenfresh Group Co. Ltd. * (e)		—
	217,000	China Lesso Group Holdings Ltd. *		100,021
	96,645	China Medical System Holdings Ltd.		81,828
	117,000	China Overseas Grand Oceans Group Ltd.		31,614
	1,664,000	China Petroleum & Chemical Corp. – Class H		1,060,048
	1,474,042	China Railway Group Ltd. – Class H		794,243
	204,000	China Reinsurance Group Corp. – Class H		14,885
	222,500	China Resources Pharmaceutical Group Ltd.		165,032
	11,000	China Shineway Pharmaceutical Group Ltd.		11,769
	128,000	China State Construction International Holdings Ltd.		169,473
	1,776,400	China Zhongwang Holdings Ltd. * (e)		—
	683,000	CITIC Ltd.		692,659
	729,500	COSCO Shipping Holdings Co. Ltd. – Class H		1,221,584
	468,000	CRRC Corp. Ltd. – Class H		280,736
	354,000	CSPC Pharmaceutical Group Ltd.		300,960
	578,000	Dongfeng Motor Group Co. Ltd. – Class H		187,493
	20,000	Fosun International Ltd.		11,235
	126,000	Fufeng Group Ltd.		98,601
	22,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H		62,743
	82,200	Haier Smart Home Co. Ltd. – Class H		298,632
	15,604	JD.com, Inc. ADR (b)		462,190
	80,250	Kingboard Holdings Ltd. (a)		195,237
	72,000	Kunlun Energy Co. Ltd.		75,092
	42,900	Legend Holdings Corp. – Class H		37,553
	722,000	Lenovo Group Ltd.		1,040,047
	17,381	Livzon Pharmaceutical Group, Inc. – Class H		59,017
	143,000	Lonking Holdings Ltd.		26,504
	340,000	Metallurgical Corp. of China Ltd. – Class H		74,088
	13,500	NetDragon Websoft Holdings Ltd.		20,285
	45,500	Orient Overseas International Ltd.		772,793
	258,000	PetroChina Co. Ltd. – Class H		264,542
	646,000	PICC Property & Casualty Co. Ltd. – Class H		841,847
	124,000	Poly Property Group Co. Ltd.		23,572
	116,200	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		172,520
	84,500	Sinopec Engineering Group Co. Ltd. – Class H		56,856
	251,200	Sinopharm Group Co. Ltd. – Class H		683,597
	131,500	Sinotruk Hong Kong Ltd.		305,833
	172,000	Skyworth Group Ltd.		61,508
	34,000	SSY Group Ltd.		20,514
	86,000	TCL Electronics Holdings Ltd.		62,487
	42,100	Tencent Holdings Ltd.		1,953,169
	16,000	Tianjin Port Development Holdings Ltd.		1,354

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		China — continued
	8,000	Tianneng Power International Ltd. (a)		6,049
	87,000	Weichai Power Co. Ltd. – Class H		156,281
		Total China		21,504,551
		Czech Republic — 0.0%
	35,890	Moneta Money Bank AS		157,188
	137	Philip Morris CR AS		90,223
		Total Czech Republic		247,411
		Denmark — 0.7%
	758	AP Moller – Maersk AS – Class A (b)		1,330,120
	1,105	AP Moller – Maersk AS – Class B (b)		2,009,089
	60,540	Danske Bank AS		1,861,099
	4,678	Genmab AS *		1,320,407
	35,055	H Lundbeck AS		192,590
	857	Matas AS		14,835
	976	Pandora AS		160,318
	2,749	ROCKWOOL AS – B Shares		1,156,616
	2,359	Scandinavian Tobacco Group AS		33,280
	1,242	Svitzer AS *		48,691
		Total Denmark		8,127,045
		Egypt — 0.0%
	24,100	Abou Kir Fertilizers & Chemical Industries		31,602
	113,313	Commercial International Bank – Egypt (CIB)		187,503
	148,086	Eastern Co. SAE		86,566
	23,452	ElSewedy Electric Co.		22,089
	64,961	Misr Fertilizers Production Co. SAE		60,272
		Total Egypt		388,032
		Finland — 0.4%
	7,978	Kemira OYJ		188,047
	33,130	Neste OYJ		695,540
	680,811	Nokia OYJ		2,662,922
	45,823	Outokumpu OYJ		190,345
	31,891	Stora Enso OYJ – R Shares		467,182
	4,706	TietoEVRY OYJ (b)		95,089
	13,769	Valmet OYJ		370,561
		Total Finland		4,669,686
		France — 3.7%
	237	Amundi SA * (a)		18,288
	6,713	APERAM SA (a)		193,628
	61,248	ArcelorMittal SA		1,615,880
	4,952	Arkema SA		507,461
	18,784	AXA SA (b)		678,223
	261	Axway Software SA (b)		6,950
	7,396	Ayvens SA		55,563
	31,075	BNP Paribas SA		2,293,851
	21,626	Carrefour SA (a)		352,666
	48,899	Cie de Saint-Gobain SA		4,317,355

Shares		Description	Value ($)
		France — continued
	11,273	Cie Generale des Etablissements Michelin SCA (b)		457,177
	31,605	Coface SA (a)		486,665
	27,342	Credit Agricole SA (a)		444,878
	8,028	Derichebourg SA		45,765
	5,067	Eurazeo SE		427,708
	3,722	Ipsen SA		488,272
	1,932	IPSOS SA		140,926
	1,350	LVMH Moet Hennessy Louis Vuitton SE (b)		1,079,653
	2,789	Metropole Television SA		42,474
	85,774	Orange SA (b)		1,001,554
	12,008	Publicis Groupe SA (b)		1,348,796
	6,843	Quadient SA		165,121
	32,576	Renault SA		1,913,520
	35,036	Rexel SA		1,064,739
	11,776	Rubis SCA		419,502
	9,455	Safran SA (b)		2,214,410
	41,455	Sanofi SA (a)		4,058,525
	2,418	Societe BIC SA * (b)		180,926
	98,889	Societe Generale SA (a)		2,962,006
	66,999	STMicroelectronics NV – NY Shares		2,811,948
	26,513	Television Francaise 1 SA (a)		261,087
	97,965	TotalEnergies SE		7,177,351
	7,812	Valeo SE		96,621
	146,450	Vivendi SE		1,612,708
		Total France		40,942,197
		Germany — 1.2%
	4,034	1&1 AG		76,838
	868	Allianz SE (Registered) (b)		254,096
	109	Amadeus Fire AG		13,158
	4,425	Bayerische Motoren Werke AG (b)		451,361
	8,956	Beiersdorf AG (b)		1,404,094
	11,280	Continental AG		768,783
	16,719	Daimler Truck Holding AG (b)		715,342
	98,754	Deutsche Bank AG (Registered) (b)		1,643,312
	20,198	Deutz AG		115,675
	2,324	DHL Group (b)		97,841
	141	Draegerwerk AG & Co. KGaA		7,172
	8,734	E.ON SE (b)		116,967
	25,440	Fresenius SE & Co. KGaA *		811,696
	5,636	Heidelberg Materials AG		591,066
	2,496	Henkel AG & Co. KGaA (b)		200,004
	364	Hornbach Holding AG & Co. KGaA		30,689
	15,445	Kloeckner & Co. SE		102,612
	274	Krones AG *		37,635
	45,145	Mercedes-Benz Group AG (b)		3,276,500
	40,732	ProSiebenSat.1 Media SE		338,587
	969	RTL Group SA		32,475
	1,575	SAF-Holland SE *		30,279
	2,496	Salzgitter AG		62,072
	5,722	Siemens AG (Registered) (b)		1,102,864

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	12,352	Talanx AG		985,277
	1,086	Volkswagen AG		155,718
		Total Germany		13,422,113
		Greece — 0.1%
	74,073	Eurobank Ergasias Services & Holdings SA – Class A *		161,930
	12,055	FF Group * (e)		—
	7,749	JUMBO SA		222,198
	7,056	Mytilineos SA		280,994
	1,837	OPAP SA		29,202
		Total Greece		694,324
		Hong Kong — 0.8%
	93,200	ASMPT Ltd.		1,114,583
	26,600	Bank of East Asia Ltd.		35,138
	90,000	BOC Hong Kong Holdings Ltd.		282,906
	29,000	Chow Sang Sang Holdings International Ltd.		30,357
	234,000	CITIC Telecom International Holdings Ltd.		76,850
	179,000	CK Asset Holdings Ltd.		708,989
	223,000	CK Hutchison Holdings Ltd.		1,088,928
	22,400	Dah Sing Financial Holdings Ltd.		65,922
	108,000	E-Commodities Holdings Ltd.		24,044
	164,000	First Pacific Co. Ltd.		78,825
	137,693	Galaxy Entertainment Group Ltd.		663,432
	104,000	Giordano International Ltd.		25,971
	34,500	Health & Happiness H&H International Holdings Ltd.		45,038
	1,221	Hong Kong Resources Holdings Co. Ltd. *		92
	206,000	IGG, Inc. *		80,827
	62,500	Johnson Electric Holdings Ltd.		95,698
	50,000	K Wah International Holdings Ltd.		11,860
	9,500	Kerry Logistics Network Ltd.		10,915
	48,500	Kerry Properties Ltd.		87,707
	29,800	Luk Fook Holdings International Ltd.		73,161
	140,000	Pacific Basin Shipping Ltd.		49,285
	133,000	Pacific Textiles Holdings Ltd.		25,711
	58,000	Shun Tak Holdings Ltd. *		5,590
	32,500	SmarTone Telecommunications Holdings Ltd.		15,185
	102,000	Sun Hung Kai Properties Ltd.		985,576
	97,000	Swire Pacific Ltd. – Class A		844,351
	13,800	Swire Properties Ltd.		25,382
	39,000	Texhong International Group Ltd. *		21,994
	46,000	Texwinca Holdings Ltd.		6,084
	190,000	VSTECS Holdings Ltd.		111,884
	29,000	VTech Holdings Ltd.		207,947
	1,845,500	WH Group Ltd.		1,257,626
	71,000	Yue Yuen Industrial Holdings Ltd.		131,270
		Total Hong Kong		8,289,128
		Hungary — 0.2%
	21,443	MOL Hungarian Oil & Gas PLC		166,794
	41,833	OTP Bank Nyrt		2,020,126

Shares		Description	Value ($)
		Hungary — continued
	13,214	Richter Gedeon Nyrt		334,960
		Total Hungary		2,521,880
		India — 1.8%
	24,514	Arvind Ltd.		111,884
	50,713	Aurobindo Pharma Ltd.		723,571
	54	Bajaj Auto Ltd.		5,891
	21,287	Berger Paints India Ltd.		117,310
	125,550	Bharat Petroleum Corp. Ltd.		946,105
	5,796	Castrol India Ltd.		13,616
	32,286	Chambal Fertilisers & Chemicals Ltd.		150,341
	17,362	Chennai Petroleum Corp. Ltd.		190,747
	18,687	Cipla Ltd.		325,015
	1,427	Colgate-Palmolive India Ltd.		45,251
	2,265	Coromandel International Ltd.		35,414
	1,336	Deepak Fertilisers & Petrochemicals Corp. Ltd.		9,057
	5,692	Dhampur Bio Organics Ltd.		8,187
	13,565	Dr Reddy’s Laboratories Ltd. ADR		931,644
	5,236	Dr Reddy’s Laboratories Ltd.		363,098
	25	Engineers India Ltd.		74
	14,361	Exide Industries Ltd.		84,217
	201,745	GAIL India Ltd.		495,227
	2,583	GHCL Ltd.		15,605
	6,632	Great Eastern Shipping Co. Ltd.		86,081
	7,122	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		54,225
	74,589	Gujarat State Fertilizers & Chemicals Ltd.		188,934
	16,875	HCL Technologies Ltd.		268,257
	12,583	Hero MotoCorp Ltd.		773,733
	44,128	Hindalco Industries Ltd.		363,796
	29,848	Hindustan Petroleum Corp. Ltd.		193,021
	232,868	Indiabulls Housing Finance Ltd.		441,442
	359,425	Indian Oil Corp. Ltd.		700,921
	35,801	Indraprastha Gas Ltd.		189,553
	9,132	Infosys Ltd. Sponsored ADR (b)		152,961
	1,886	Infosys Ltd.		31,972
	366,992	ITC Ltd.		1,879,175
	12,783	JM Financial Ltd. *		12,084
	34,233	Karnataka Bank Ltd.		87,775
	5,651	Mahanagar Gas Ltd.		87,976
	219,911	Manappuram Finance Ltd.		448,214
	5,999	Muthoot Finance Ltd.		121,638
	17,300	NCC Ltd.		59,865
	456,377	NMDC Ltd.		1,425,714
	975,879	Oil & Natural Gas Corp. Ltd.		3,114,801
	28,612	One 97 Communications Ltd. *		123,657
	51,223	Petronet LNG Ltd.		182,443
	227,669	Power Finance Corp. Ltd.		1,349,471
	305,714	Power Grid Corp. of India Ltd.		1,133,889
	40,909	PTC India Ltd.		103,153
	24,009	Rashtriya Chemicals & Fertilizers Ltd.		44,428
	115,862	REC Ltd.		748,212

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		India — continued
	10,243	Redington Ltd.		24,434
	180	Reliance Industries Ltd.		6,171
	4,177	RITES Ltd.		35,197
	7,620	Shipping Corp. of India Ltd.		22,513
	6,779	Shriram Finance Ltd.		194,017
	22,462	Sun TV Network Ltd.		176,545
	3,678	Tata Consultancy Services Ltd.		163,273
	9,720	Vardhman Textiles Ltd.		52,558
	2,898	Zensar Technologies Ltd.		21,314
	43,115	Zydus Lifesciences Ltd.		516,619
		Total India		20,152,286
		Indonesia — 0.4%
	930,000	AKR Corporindo Tbk. PT		91,647
	476,800	Aneka Tambang Tbk. PT		43,038
	164,100	Astra International Tbk. PT		43,406
	2,346,800	Bank Central Asia Tbk. PT		1,335,264
	1,291,092	Bank Mandiri Persero Tbk. PT		468,235
	2,089,200	Bank Negara Indonesia Persero Tbk. PT		566,902
	1,665,900	Bank Pembangunan Daerah Jawa Timur Tbk. PT		51,258
	3,023,000	Bank Rakyat Indonesia Persero Tbk. PT		810,283
	298,900	Indofood Sukses Makmur Tbk. PT		108,088
	1,399,700	Kalbe Farma Tbk. PT		128,225
	190,600	Medco Energi Internasional Tbk. PT		16,475
	1,193,300	Media Nusantara Citra Tbk. PT		22,623
	793,900	Sarana Menara Nusantara Tbk. PT		33,710
	445,400	Semen Indonesia Persero Tbk. PT		95,658
		Total Indonesia		3,814,812
		Ireland — 0.2%
	9,210	AIB Group PLC		52,411
	28,811	Bank of Ireland Group PLC		331,126
	1,187	Kingspan Group PLC		114,353
	15,644	Origin Enterprises PLC		52,319
	9,611	Permanent TSB Group Holdings PLC *		15,989
	13,800	Ryanair Holdings PLC Sponsored ADR (b)		1,678,632
		Total Ireland		2,244,830
		Israel — 0.3%
	8,862	Bank Leumi Le-Israel BM		73,732
	6,729	Check Point Software Technologies Ltd. * (a)		1,012,714
	14,349	Israel Discount Bank Ltd. – Class A		73,799
	189,590	Oil Refineries Ltd.		51,582
	124,090	Teva Pharmaceutical Industries Ltd. Sponsored ADR *		2,100,844
	14,260	Teva Pharmaceutical Industries Ltd. *		240,105
		Total Israel		3,552,776
		Italy — 1.7%
	47,471	Anima Holding SpA		253,697
	18,994	Assicurazioni Generali SpA (b)		488,879

Shares		Description	Value ($)
		Italy — continued
	16,819	Banca IFIS SpA		370,374
	31,972	Banco BPM SpA		230,677
	189,378	BPER Banca SpA		1,019,180
	201	Buzzi SpA (a)		8,498
	17,700	Credito Emiliano SpA		185,116
	119,407	Eni SpA		1,885,959
	5,322	Esprinet SpA *		28,688
	915	Hera SpA		3,377
	203,956	Intesa Sanpaolo SpA		803,430
	22,059	Iveco Group NV		264,507
	126,579	Leonardo SpA * (a)		3,255,856
	25,662	MFE-MediaForEurope NV – Class A		88,122
	4,445	Poste Italiane SpA		61,061
	209,710	Stellantis NV		4,646,341
	4,433,607	Telecom Italia SpA * (a)		1,168,722
	16,700	Tenaris SA ADR		550,599
	33,849	UniCredit SpA		1,347,617
	1,495	Unieuro SpA (a)		15,676
	234,120	Unipol Gruppo SpA		2,413,594
		Total Italy		19,089,970
		Japan — 17.6%
	10,300	ADEKA Corp.		221,423
	5,100	Aichi Corp.		37,754
	49,000	Amano Corp.		1,177,966
	2,800	AOKI Holdings, Inc.		22,625
	3,000	Arata Corp.		61,500
	4,800	Asahi Yukizai Corp.		146,956
	8,800	Axial Retailing, Inc.		56,199
	3,600	Bando Chemical Industries Ltd.		41,856
	15,400	Belluna Co. Ltd.		70,399
	9,200	BML, Inc.		164,160
	31,300	Bridgestone Corp. (a) (b)		1,371,925
	102,900	Brother Industries Ltd.		1,980,466
	3,300	Bunka Shutter Co. Ltd.		38,154
	13,200	Canon Marketing Japan, Inc.		373,409
	25,300	Canon, Inc.		736,284
	2,900	Central Glass Co. Ltd.		66,241
	1,300	Chiyoda Integre Co. Ltd.		24,126
	128,900	Chubu Electric Power Co., Inc. (b)		1,780,853
	2,400	Cosmo Energy Holdings Co. Ltd.		119,837
	180,000	Credit Saison Co. Ltd.		3,902,255
	10,900	Dai Nippon Printing Co. Ltd. (b)		339,498
	1,100	Dai Nippon Toryo Co. Ltd.		8,731
	72,000	Daicel Corp.		729,436
	3,000	Dai-Dan Co. Ltd.		62,504
	21,700	Daido Steel Co. Ltd.		219,263
	1,500	Daihen Corp.		79,815
	3,600	Daiichi Jitsugyo Co. Ltd.		54,259
	15,700	Daiki Aluminium Industry Co. Ltd.		132,488
	34,900	Daiwa House Industry Co. Ltd.		928,572
	144,500	Daiwabo Holdings Co. Ltd.		2,556,411
	135,100	Denka Co. Ltd.		1,908,740

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,600	DTS Corp. (b)		42,562
	14,100	EDION Corp.		141,168
	700	Elecom Co. Ltd.		6,907
	536,400	ENEOS Holdings, Inc.		2,773,317
	111,800	EXEO Group, Inc.		1,147,086
	300	FCC Co. Ltd.		4,288
	19,700	Ferrotec Holdings Corp.		336,784
	145,400	Fuji Corp.		2,353,270
	1,500	Fuji Electric Co. Ltd.		89,485
	93,200	FUJIFILM Holdings Corp. (a)		2,128,292
	93,900	Fujikura Ltd.		1,937,668
	100	Fukuda Denshi Co. Ltd.		3,936
	1,200	Fukushima Galilei Co. Ltd.		46,366
	1,000	FULLCAST Holdings Co. Ltd.		9,225
	100	Fuyo General Lease Co. Ltd.		7,932
	5,000	GLOBERIDE, Inc.		66,293
	6,200	Glory Ltd.		108,279
	38,100	GungHo Online Entertainment, Inc.		641,148
	163,900	H.U. Group Holdings, Inc.		2,618,971
	1,000	Hamakyorex Co. Ltd.		25,775
	4,200	Hanwa Co. Ltd.		178,313
	62,200	Haseko Corp. (a)		703,102
	23,100	Hitachi Construction Machinery Co. Ltd.		629,441
	900	Hitachi Ltd. (b)		92,689
	52,100	Hogy Medical Co. Ltd.		1,309,337
	189,000	Honda Motor Co. Ltd. (b)		2,140,181
	67,579	Honda Motor Co. Ltd. Sponsored ADR		2,292,280
	11,900	Horiba Ltd.		940,774
	19,100	Hosiden Corp.		243,808
	74,600	Idemitsu Kosan Co. Ltd.		510,829
	300	Inaba Denki Sangyo Co. Ltd.		7,407
	28,000	Inabata & Co. Ltd.		596,908
	366,900	Inpex Corp.		5,661,178
	306,900	Isuzu Motors Ltd.		4,113,053
	102,600	ITOCHU Corp. (a)		4,843,397
	17,500	Itochu Enex Co. Ltd.		171,780
	500	Itochu-Shokuhin Co. Ltd.		22,764
	7,700	Itoham Yonekyu Holdings, Inc.		203,171
	5,000	Itoki Corp.		49,020
	1,700	Izumi Co. Ltd.		36,492
	30,400	JAFCO Group Co. Ltd.		346,242
	1,000	Japan Lifeline Co. Ltd.		7,264
	10,300	Japan Petroleum Exploration Co. Ltd.		433,660
	45,600	Japan Post Insurance Co. Ltd.		878,775
	100,300	Japan Tobacco, Inc. (b)		2,845,783
	43,300	JFE Holdings, Inc.		655,540
	1,200	Justsystems Corp. (b)		21,273
	16,500	Kaga Electronics Co. Ltd.		602,850
	43,200	Kajima Corp.		734,008
	3,500	Kamei Corp.		45,895
	43,600	Kandenko Co. Ltd.		518,931
	2,000	Kaneka Corp.		53,818
	231,100	Kanematsu Corp.		3,964,935
	20,100	Kansai Electric Power Co., Inc. (b)		363,754

Shares		Description	Value ($)
		Japan — continued
	29,300	Kawasaki Kisen Kaisha Ltd. (b)		435,466
	22,700	KDDI Corp. (b)		625,493
	171,000	Kirin Holdings Co. Ltd. (a)		2,361,500
	35,500	Kobe Steel Ltd.		462,549
	8,600	Kohnan Shoji Co. Ltd.		229,855
	3,800	Kokuyo Co. Ltd.		65,395
	43,300	Komatsu Ltd. (b)		1,272,631
	10,000	Komeri Co. Ltd. (a)		237,814
	36,500	K’s Holdings Corp.		338,513
	43,700	Kumiai Chemical Industry Co. Ltd.		214,164
	5,400	Kureha Corp.		99,036
	3,000	Kyokuto Kaihatsu Kogyo Co. Ltd.		47,765
	19,800	Kyudenko Corp.		806,271
	700	Life Corp.		18,284
	356,400	Macromill, Inc.		2,010,662
	18,700	Marubeni Corp. (b)		366,250
	500	Maruha Nichiro Corp.		10,419
	76,800	Maruichi Steel Tube Ltd.		1,832,514
	2,700	Maruzen Showa Unyu Co. Ltd.		89,195
	7,100	Matsuda Sangyo Co. Ltd.		128,133
	135,000	Maxell Ltd.		1,436,908
	113,000	Mazda Motor Corp.		1,191,332
	12,800	MCJ Co. Ltd.		112,074
	5,700	Medipal Holdings Corp.		83,951
	2,100	Melco Holdings, Inc.		46,822
	16,200	Mirait One Corp.		196,852
	25,400	Mirarth Holdings, Inc.		77,664
	27,100	Mitsubishi Chemical Group Corp. (a)		143,526
	42,900	Mitsubishi Corp. (b)		905,464
	210,100	Mitsubishi Electric Corp.		3,650,979
	47,700	Mitsubishi Gas Chemical Co., Inc.		895,261
	2,900	Mitsubishi Research Institute, Inc.		86,644
	300	Mitsubishi Shokuhin Co. Ltd.		9,962
	261,900	Mitsubishi UFJ Financial Group, Inc. (b)		2,781,815
	46,400	Mitsui & Co. Ltd. (b)		2,362,419
	17,600	Mitsui Chemicals, Inc.		533,230
	3,100	Mitsui DM Sugar Holdings Co. Ltd.		62,865
	89,900	Mitsui OSK Lines Ltd.		2,963,318
	2,500	Mitsui-Soko Holdings Co. Ltd.		68,648
	2,500	MIXI, Inc.		45,569
	35,300	Mizuno Corp.		1,837,308
	80,300	Morinaga & Co. Ltd.		1,284,329
	39,500	Morinaga Milk Industry Co. Ltd.		816,044
	58,700	MS&AD Insurance Group Holdings, Inc.		1,220,955
	1,100	Nafco Co. Ltd.		20,308
	4,400	Nagase & Co. Ltd.		86,238
	36,700	NEC Corp. (b)		2,731,866
	3,200	NGK Insulators Ltd.		42,771
	74,400	NH Foods Ltd.		2,283,745
	18,400	Nichias Corp.		557,955
	6,600	Nichiha Corp.		148,976
	5,200	Nichireki Co. Ltd.		80,089
	2,000	Nippon Densetsu Kogyo Co. Ltd.		25,603

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	9,000	Nippon Shinyaku Co. Ltd.		176,227
	5,000	Nippon Soda Co. Ltd.		161,494
	80,500	Nippon Television Holdings, Inc.		1,085,636
	116,200	Nippon Yusen KK (a) (b)		3,684,136
	15,200	Nissan Motor Co. Ltd.		54,365
	1,500	Nissin Corp.		42,964
	24,400	Niterra Co. Ltd.		735,378
	900	Nitta Corp.		23,515
	4,400	Nittetsu Mining Co. Ltd.		148,571
	700	Nitto Denko Corp.		53,592
	29,900	Nojima Corp.		336,429
	29,100	Nomura Real Estate Holdings, Inc.		750,264
	4,500	Noritake Co. Ltd.		114,985
	1,700	NS United Kaiun Kaisha Ltd.		53,511
	1,100	Obara Group, Inc.		29,693
	68,100	Oji Holdings Corp.		275,218
	23,300	Okamura Corp.		337,684
	4,400	OKUMA Corp.		188,399
	113,800	Ono Pharmaceutical Co. Ltd. (a)		1,647,923
	67,900	ORIX Corp.		1,480,765
	1,100	Osaka Gas Co. Ltd. (b)		25,045
	25,400	Otsuka Holdings Co. Ltd. (a)		1,048,650
	165,200	Pacific Industrial Co. Ltd.		1,634,794
	3,200	PAL GROUP Holdings Co. Ltd.		37,136
	1,100	PALTAC Corp.		28,870
	306,300	Panasonic Holdings Corp.		2,705,498
	304,500	Penta-Ocean Construction Co. Ltd.		1,226,387
	4,500	Pilot Corp.		125,489
	2,200	Prima Meat Packers Ltd.		33,155
	2,200	Raito Kogyo Co. Ltd.		28,168
	43,500	Renesas Electronics Corp.		801,558
	3,000	Rengo Co. Ltd.		20,234
	500	Restar Corp.		9,571
	9,500	Ricoh Co. Ltd.		85,310
	146,000	Rohm Co. Ltd. (a)		1,892,376
	800	Roland DG Corp.		27,271
	4,700	S Foods, Inc.		85,086
	2,900	Sakai Moving Service Co. Ltd.		43,793
	1,900	Sakata INX Corp.		23,092
	10,100	San-A Co. Ltd.		309,842
	10,400	San-Ai Obbli Co. Ltd.		137,600
	8,800	Sanki Engineering Co. Ltd.		123,092
	2,700	Sankyo Co. Ltd.		26,326
	57,300	Sankyu, Inc.		2,069,676
	71,300	Sanwa Holdings Corp.		1,327,347
	1,600	Sanyo Denki Co. Ltd.		73,867
	1,500	SB Technology Corp. (a)		28,282
	1,000	SCREEN Holdings Co. Ltd.		95,655
	176,800	Sega Sammy Holdings, Inc. (a)		2,497,280
	30,200	Seiko Epson Corp.		487,968
	49,600	Sekisui Chemical Co. Ltd.		711,893
	121,900	Sekisui House Ltd.		2,744,892
	2,900	Sekisui Jushi Corp.		44,556
	11,600	Shimamura Co. Ltd.		555,662

Shares		Description	Value ($)
		Japan — continued
	4,200	Shinagawa Refractories Co. Ltd.		54,182
	36,300	Shionogi & Co. Ltd.		1,635,427
	800	Sinanen Holdings Co. Ltd.		23,696
	1,500	Sinko Industries Ltd.		36,849
	1,000	Sohgo Security Services Co. Ltd. (b)		6,038
	67,460	Sojitz Corp.		1,764,876
	136,300	Stanley Electric Co. Ltd.		2,507,511
	15,200	Star Micronics Co. Ltd. (a)		205,819
	8,100	Starts Corp., Inc.		168,997
	90,800	Subaru Corp.		2,029,806
	174,300	SUMCO Corp. (a)		2,620,308
	66,800	Sumitomo Corp.		1,738,302
	3,700	Sumitomo Densetsu Co. Ltd.		86,070
	104,300	Sumitomo Forestry Co. Ltd.		3,611,294
	35,300	Sumitomo Heavy Industries Ltd.		960,454
	47,500	Sumitomo Mitsui Financial Group, Inc. (a)		3,108,832
	101,400	Sumitomo Mitsui Trust Holdings, Inc. (a)		2,357,504
	222,100	Sumitomo Pharma Co. Ltd. *		431,236
	9,100	Sun Frontier Fudousan Co. Ltd.		113,007
	157,500	T&D Holdings, Inc.		2,847,340
	6,100	Takeda Pharmaceutical Co. Ltd.		162,412
	2,700	Tamron Co. Ltd.		152,235
	18,300	TDK Corp.		919,126
	72,100	THK Co. Ltd.		1,398,176
	280,600	Tokai Carbon Co. Ltd.		1,784,320
	1,900	Tokai Rika Co. Ltd.		26,949
	276,800	Tokyo Electric Power Co. Holdings, Inc. * (b)		1,661,758
	118,200	Tokyo Gas Co. Ltd. (b)		2,654,937
	26,100	Tokyo Steel Manufacturing Co. Ltd.		260,566
	123,000	Tosei Corp.		1,768,963
	79,700	Tosoh Corp.		1,011,365
	8,400	Toyo Tire Corp.		150,535
	4,900	Toyoda Gosei Co. Ltd.		95,338
	11,400	Toyota Boshoku Corp.		166,889
	14,000	Toyota Industries Corp.		1,320,350
	35,400	Toyota Tsusho Corp.		2,161,841
	1,300	Transcosmos, Inc.		28,047
	200	Tsubakimoto Chain Co.		7,540
	10,000	Tsugami Corp.		92,593
	18,100	TV Asahi Holdings Corp.		231,758
	3,600	Wacoal Holdings Corp.		88,998
	14,700	YAMABIKO Corp.		201,128
	59,700	Yamaha Corp.		1,358,452
	512,300	Yamaha Motor Co. Ltd. (a)		5,016,301
	1,300	Yamato Kogyo Co. Ltd.		67,954
	23,500	Yamazen Corp.		210,298
	15,500	Yellow Hat Ltd.		205,677
	86,800	Yokogawa Bridge Holdings Corp.		1,527,489
	10,500	Yokohama Rubber Co. Ltd.		263,716
	6,300	Yuasa Trading Co. Ltd.		224,798
	38,500	Zenkoku Hosho Co. Ltd.		1,379,550
		Total Japan		195,968,685

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Kuwait — 0.0%
	8,662	Humansoft Holding Co. KSC		73,044
		Malaysia — 0.1%
	42,700	AMMB Holdings Bhd.		38,578
	481,500	CIMB Group Holdings Bhd.		701,060
	22,600	IOI Corp. Bhd.		18,366
	74,900	Kossan Rubber Industries Bhd.		35,350
	53,700	KPJ Healthcare Bhd.		21,709
	162,100	Malayan Banking Bhd.		342,059
	42,000	MISC Bhd.		74,461
	54,300	Petronas Chemicals Group Bhd.		77,487
	16,500	PPB Group Bhd.		51,785
	74,000	Sime Darby Bhd.		43,749
		Total Malaysia		1,404,604
		Mexico — 0.7%
	52,786	Arca Continental SAB de CV		541,129
	45,046	Banco del Bajio SA		155,981
	8,778	Cemex SAB de CV Sponsored ADR *		66,098
	4,270	Coca-Cola Femsa SAB de CV Sponsored ADR		399,928
	495,200	Credito Real SAB de CV SOFOM ER * (e)		—
	16,229	El Puerto de Liverpool SAB de CV – Class C1		123,393
	157,715	Fomento Economico Mexicano SAB de CV		1,806,800
	1,871	Fomento Economico Mexicano SAB de CV Sponsored ADR		214,454
	5,784	Grupo Aeroportuario del Centro Norte SAB de CV		59,325
	271	Grupo Aeroportuario del Centro Norte SAB de CV ADR		22,170
	69	Grupo Aeroportuario del Sureste SAB de CV ADR		23,156
	4,863	Grupo Aeroportuario del Sureste SAB de CV – Class B		164,155
	206,622	Grupo Financiero Banorte SAB de CV – Class O		1,962,766
	298,981	Grupo Mexico SAB de CV – Series B		1,844,654
	46,849	Kimberly-Clark de Mexico SAB de CV – Class A		98,522
	14,737	Qualitas Controladora SAB de CV		189,128
	6,694	Regional SAB de CV		57,990
	815	Unifin Financiera SAB de CV * (e)		—
	114,354	Wal-Mart de Mexico SAB de CV		429,674
		Total Mexico		8,159,323
		Netherlands — 2.2%
	5,415	Aalberts NV		259,097
	30,714	Aegon Ltd.		199,219
	889	Arcadis NV (b)		58,336
	11,540	ASR Nederland NV (a)		558,517
	42,012	EXOR NV		4,717,973
	9,049	ForFarmers NV		27,016

Shares		Description	Value ($)
		Netherlands — continued
	1,889	IMCD NV (a)		288,271
	221,009	ING Groep NV (a)		3,948,404
	132,570	Koninklijke Ahold Delhaize NV (b)		4,111,396
	136,441	Koninklijke Philips NV * (b)		3,726,866
	59,228	NN Group NV (a)		2,763,525
	37,906	Randstad NV (b)		2,003,401
	14,698	Royal BAM Group NV		61,783
	40,177	Signify NV (a)		1,097,833
	5,392	Wolters Kluwer NV (b)		859,966
		Total Netherlands		24,681,603
		New Zealand — 0.0%
	83,962	Meridian Energy Ltd. (b)		349,330
		Norway — 0.8%
	40,406	BW LPG Ltd.		838,757
	92,583	DNO ASA		103,630
	114,253	Elkem ASA *		238,776
	168,882	Equinor ASA		4,902,261
	33,071	Europris ASA		221,397
	6,227	Golden Ocean Group Ltd.		89,607
	83,629	Hafnia Ltd.		734,917
	51,819	Hoegh Autoliners ASA		618,612
	18,539	Odfjell Drilling Ltd.		102,095
	19,125	Orkla ASA		153,125
	3,159	Selvaag Bolig ASA		11,351
	4,613	Stolt-Nielsen Ltd.		213,064
	9,618	Storebrand ASA		104,234
	24,753	Wallenius Wilhelmsen ASA		264,430
		Total Norway		8,596,256
		Pakistan — 0.0%
	16,982	Attock Refinery Ltd.		23,210
	30,587	Engro Fertilizers Ltd.		17,585
	294,574	Oil & Gas Development Co. Ltd.		141,391
	250,147	Pakistan Petroleum Ltd.		107,721
		Total Pakistan		289,907
		Philippines — 0.0%
	20,500	Aboitiz Equity Ventures, Inc.		12,278
	150,080	Megaworld Corp.		4,619
		Total Philippines		16,897
		Poland — 0.5%
	3,024	Asseco Poland SA		63,554
	22,159	Bank Polska Kasa Opieki SA		902,539
	1,074	Budimex SA		204,041
	12,838	Cyfrowy Polsat SA *		40,844
	96	Grupa Kety SA		21,092
	17,526	Orange Polska SA		36,560
	164,926	ORLEN SA		2,671,553
	21,339	Pepco Group NV *		131,681
	137,278	PGE Polska Grupa Energetyczna SA *		237,137

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Poland — continued
	8,272	Powszechna Kasa Oszczednosci Bank Polski SA		125,340
	53,558	Powszechny Zaklad Ubezpieczen SA		681,634
	2,167	Santander Bank Polska SA		279,412
		Total Poland		5,395,387
		Portugal — 0.0%
	37,937	Navigator Co. SA * (a)		165,904
	202,578	Sonae SGPS SA		209,114
		Total Portugal		375,018
		Qatar — 0.0%
	81,453	Industries Qatar QSC		258,769
	40,449	Ooredoo QPSC		104,496
	13,335	Qatar Gas Transport Co. Ltd.		14,609
	5,888	Qatar Islamic Bank SAQ		27,925
	13,070	Qatar National Bank QPSC		48,583
		Total Qatar		454,382
		Russia — 0.0%
	3,038,020	Alrosa PJSC (e) (f)		25,114
	160,792,062	Federal Grid Co.-Rosseti PJSC * (e)		1,808
	68,395	Fix Price Group PLC GDR (e)		1,628
	180,610	Gazprom Neft PJSC (e)		13,440
	2,050,858	Gazprom PJSC * (e)		28,384
	455,400	GMK Norilskiy Nickel PAO (e)		7,097
	6,310,100	Inter RAO UES PJSC * (e)		2,845
	19,776	LSR Group PJSC (e)		1,705
	1	LSR Group PJSC GDR (e)		—
	74,944	LUKOIL PJSC (e)		60,908
	1,863,335	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		11,340
	25,400	Mechel PJSC * (e) (f)		605
	1	MMC Norilsk Nickel PJSC ADR * (e)		—
	16,770	Mobile TeleSystems PJSC (e)		525
	361,420	Moscow Exchange MICEX-Rates PJSC (e)		9,565
	3,294,000	Mosenergo PJSC (e)		1,103
	75,720	Novatek PJSC (e)		9,062
	1,212,010	Novolipetsk Steel PJSC (e)		25,893
	3,466	PhosAgro PJSC (e)		2,276
	67	PhosAgro PJSC GDR (e) (f)		15
	10,215	Polyus PJSC * (e) (f)		13,795
	1	Polyus PJSC GDR (Registered) (e) (f)		1
	24,471,200	RusHydro PJSC (e)		1,709
	3,677,652	Sberbank of Russia PJSC * (e) (f)		127,092
	425	Severstal PAO * (e) (f)		84
	91,185	Severstal PAO GDR (Registered) * (e) (f)		17,935
	11,580	SFI PJSC (e)		1,652
	5,940,620	Surgutneftegas PJSC (e)		18,769
	332,388	Tatneft PJSC (e)		25,327
	1,300,440	Unipro PJSC * (e)		275
	50,950	United Co. Rusal International PJSC * (e)		241
		Total Russia		410,193

Shares		Description	Value ($)
		Saudi Arabia — 0.0%
	4,251	Almarai Co. JSC		59,290
	6,554	Saudi Arabian Oil Co.		50,667
	20,969	Saudi National Bank		190,428
		Total Saudi Arabia		300,385
		Singapore — 0.6%
	39,000	Bumitama Agri Ltd.		20,214
	265,400	ComfortDelGro Corp. Ltd.		273,614
	16,508	DBS Group Holdings Ltd.		440,199
	35,500	First Real Estate Investment Trust – (REIT) (a)		6,297
	84,500	First Resources Ltd.		88,218
	870,300	Golden Agri-Resources Ltd.		170,776
	126,300	Keppel Ltd.		629,711
	178,600	Oversea-Chinese Banking Corp. Ltd.		1,922,109
	40,900	Sasseur Real Estate Investment Trust – (REIT)		20,606
	37,700	Sheng Siong Group Ltd.		41,609
	74,700	StarHub Ltd.		70,757
	37,000	United Overseas Bank Ltd.		843,676
	25,400	UOL Group Ltd.		101,677
	12,100	Venture Corp. Ltd.		125,905
	90,299	Yangzijiang Financial Holding Ltd.		21,750
	1,299,899	Yangzijiang Shipbuilding Holdings Ltd.		2,199,427
	134,400	Yanlord Land Group Ltd. *		45,822
		Total Singapore		7,022,367
		South Africa — 0.6%
	20,661	Absa Group Ltd.		164,672
	26,946	Anglo American Platinum Ltd.		883,950
	34,865	AVI Ltd.		157,999
	7,395	Barloworld Ltd.		35,398
	43,165	Bidvest Group Ltd.		564,351
	27,450	Clicks Group Ltd.		430,849
	427,751	FirstRand Ltd.		1,484,010
	23,127	Foschini Group Ltd.		117,021
	23,814	Investec Ltd.		155,698
	10,013	Kumba Iron Ore Ltd.		262,498
	15,561	Motus Holdings Ltd.		71,473
	36,361	Mr Price Group Ltd.		344,369
	10	MTN Group Ltd.		44
	16,054	Nedbank Group Ltd.		194,884
	9,304	Ninety One Ltd.		19,628
	6,273	Reunert Ltd.		22,919
	37,117	Sanlam Ltd.		140,050
	75,491	Sappi Ltd.		217,030
	18,985	Shoprite Holdings Ltd.		252,418
	15,522	Tiger Brands Ltd.		160,750
	77,979	Truworths International Ltd.		316,932
	22,654	Woolworths Holdings Ltd.		65,470
		Total South Africa		6,062,413

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		South Korea — 1.8%
	5,607	ABOV Semiconductor Co. Ltd.		52,853
	34,993	BNK Financial Group, Inc.		214,331
	5,918	Cheil Worldwide, Inc.		80,019
	6,229	Coway Co. Ltd.		255,091
	17,323	Daewon Cable Co. Ltd. *		44,935
	6,725	Daou Data Corp.		56,195
	1,614	DB Insurance Co. Ltd.		120,965
	19,254	Dongwon Development Co. Ltd.		38,462
	238	F&F Co. Ltd.		11,548
	1,336	Fila Holdings Corp.		38,111
	2,936	Global Standard Technology Co. Ltd.		95,454
	11,631	GS Holdings Corp.		367,208
	15,376	Hana Financial Group, Inc.		686,624
	1,143	Handsome Co. Ltd.		14,819
	8,286	Hankook Tire & Technology Co. Ltd.		262,557
	26,474	Hanon Systems		95,796
	12,513	HDC Hyundai Development Co-Engineering & Construction		158,799
	2,849	Hyundai Engineering & Construction Co. Ltd.		68,364
	3,545	Hyundai Glovis Co. Ltd.		461,400
	501	Hyundai Home Shopping Network Corp.		18,986
	10,136	Hyundai Mobis Co. Ltd.		1,580,353
	6,175	Hyundai Motor Co.		1,133,136
	2,408	Hyundai Steel Co.		51,718
	228	INTOPS Co. Ltd.		3,883
	14,718	JB Financial Group Co. Ltd.		155,307
	3,491	Kakaopay Corp. *		78,163
	7,525	Kangwon Land, Inc.		81,036
	8,230	KB Financial Group, Inc.		473,145
	4,303	KB Financial Group, Inc. ADR		247,595
	705	KCC Glass Corp.		20,593
	46,666	Kia Corp.		3,983,234
	9,783	KT Corp. Sponsored ADR		132,266
	27,393	KT&G Corp.		1,653,488
	10,903	LG Corp.		641,529
	35,141	LG Electronics, Inc.		2,672,958
	8,462	LG Uplus Corp.		59,095
	2,799	LOTTE Fine Chemical Co. Ltd.		97,351
	7,973	Mirae Asset Securities Co. Ltd.		41,677
	946	NAVER Corp.		117,114
	1,054	Orion Corp.		69,735
	382	POSCO Holdings, Inc.		102,440
	19,907	POSCO Holdings, Inc. Sponsored ADR		1,341,931
	2,916	Samsung E&A Co. Ltd. *		49,388
	12,372	Samsung Electronics Co. Ltd.		655,503
	26	Samsung Electronics Co. Ltd. GDR (b)		35,229
	4,100	Samsung Securities Co. Ltd.		107,318
	11,126	Shinhan Financial Group Co. Ltd.		381,695
	13,095	SK Networks Co. Ltd.		47,943
	4,263	SK Telecom Co. Ltd. Sponsored ADR		88,159

Shares		Description	Value ($)
		South Korea — continued
	52,578	Woori Financial Group, Inc.		539,309
	3,354	Youngone Corp.		82,376
		Total South Korea		19,867,184
		Spain — 2.1%
	69,356	Acerinox SA		759,718
	23,216	Amadeus IT Group SA (b)		1,657,214
	17,671	Atresmedia Corp. de Medios de Comunicacion SA		101,807
	541,185	Banco Bilbao Vizcaya Argentaria SA		5,872,590
	2,026,506	Banco de Sabadell SA		4,280,570
	836,937	Banco Santander SA		4,413,793
	33,331	CaixaBank SA		190,889
	13,744	Ence Energia y Celulosa SA *		50,533
	596	Grupo Catalana Occidente SA		24,724
	61,418	Industria de Diseno Textil SA (b)		2,920,522
	178,668	Mapfre SA (a)		430,229
	34,234	Prosegur Compania de Seguridad SA		65,884
	125,634	Repsol SA		2,050,936
		Total Spain		22,819,409
		Sweden — 0.7%
	4,628	Betsson AB * (c)		1,650
	4,628	Betsson AB (b) (c)		53,073
	166,156	Fastighets AB Balder – B Shares * (a)		1,124,997
	2,745	Investor AB – A Shares (b)		73,944
	94,814	Investor AB – B Shares (b)		2,572,812
	9,284	Securitas AB – B Shares (b)		95,544
	27,296	Skanska AB – B Shares		482,128
	133,956	Telefonaktiebolaget LM Ericsson – B Shares		825,378
	4,640	Volvo AB – A Shares		126,099
	61,985	Volvo AB – B Shares		1,668,319
	39,368	Volvo Car AB – Class B *		132,584
		Total Sweden		7,156,528
		Switzerland — 1.4%
	78,802	Adecco Group AG (Registered) (b)		2,990,600
	393	Bobst Group SA (Registered)		29,964
	2,724	Holcim AG (b)		239,303
	9,860	Logitech International SA (Registered) (c)		986,881
	558	Logitech International SA (Registered) (c)		55,806
	2,157	Mobilezone Holding AG (Registered)		34,387
	24,194	Novartis AG Sponsored ADR		2,495,127
	11,980	Novartis AG (Registered)		1,239,905
	1,009	Roche Holding AG (a)		282,386
	25,903	Roche Holding AG – Genusschein		6,613,470
	6,499	Sandoz Group AG ADR		230,650
	787	Sandoz Group AG		27,839
	659	Swatch Group AG		141,163
	874	Swisscom AG (Registered) (b)		484,860
	602	u-blox Holding AG (a)		64,050

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	884	UBS Group AG (Registered) (b)		28,182
		Total Switzerland		15,944,573
		Taiwan — 2.7%
	2,414	Acter Group Corp. Ltd.		17,469
	137,014	ASE Technology Holding Co. Ltd. ADR		1,477,011
	30,000	Asustek Computer, Inc.		477,611
	212,000	Catcher Technology Co. Ltd.		1,472,987
	35,000	Chicony Electronics Co. Ltd.		202,450
	81,000	Chipbond Technology Corp.		170,468
	9,000	ChipMOS Technologies, Inc.		12,313
	1,000	Chlitina Holding Ltd.		5,174
	373,000	Compal Electronics, Inc.		428,332
	26,440	Coretronic Corp.		90,506
	8,000	Dynapack International Technology Corp.		23,377
	44,000	Elitegroup Computer Systems Co. Ltd. *		46,757
	394,200	Evergreen Marine Corp. Taiwan Ltd.		2,564,401
	59,000	Farglory Land Development Co. Ltd.		161,464
	27,701	FLEXium Interconnect, Inc.		74,832
	97,821	Foxconn Technology Co. Ltd.		221,731
	3,053	Fubon Financial Holding Co. Ltd.		6,939
	7,080	Fusheng Precision Co. Ltd.		63,629
	16,000	Giant Manufacturing Co. Ltd.		107,599
	15,000	Global Brands Manufacture Ltd.		34,520
	152,000	Grand Pacific Petrochemical		68,093
	2,000	Grape King Bio Ltd.		9,915
	9,000	Hannstar Board Corp.		16,496
	686,318	Hon Hai Precision Industry Co. Ltd.		3,654,984
	39,000	Huaku Development Co. Ltd. *		190,398
	19,279	Innodisk Corp.		196,884
	30,000	King’s Town Bank Co. Ltd.		55,647
	20,000	Kung Long Batteries Industrial Co. Ltd.		91,189
	11,000	Largan Precision Co. Ltd.		776,894
	70,000	MediaTek, Inc.		2,680,585
	136,000	Micro-Star International Co. Ltd.		807,862
	33,000	Nan Ya Printed Circuit Board Corp.		199,157
	49,903	Nantex Industry Co. Ltd.		53,689
	5,800	Nien Made Enterprise Co. Ltd.		62,948
	67,000	Novatek Microelectronics Corp.		1,235,174
	8,000	Parade Technologies Ltd.		189,912
	6,000	Pixart Imaging, Inc.		30,407
	204,000	Pou Chen Corp.		236,556
	246,000	Powerchip Semiconductor Manufacturing Corp. *		189,091
	6,000	Powertech Technology, Inc.		33,126
	63,000	Primax Electronics Ltd.		197,048
	140,472	Radiant Opto-Electronics Corp.		856,812
	10,000	Realtek Semiconductor Corp.		168,839
	16,400	Ruentex Industries Ltd.		34,641
	19,760	Shin Zu Shing Co. Ltd.		121,130
	29,000	Shinkong Insurance Co. Ltd.		85,153
	9,000	Sigurd Microelectronics Corp.		21,980

Shares		Description	Value ($)
		Taiwan — continued
	31,900	Simplo Technology Co. Ltd.		406,707
	2,945	Sinmag Equipment Corp.		14,217
	29,000	T3EX Global Holdings Corp.		99,827
	12,000	TaiDoc Technology Corp.		60,461
	173,000	Taiwan Semiconductor Manufacturing Co. Ltd.		4,430,172
	21,897	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (b)		3,307,323
	42,000	Taiwan Surface Mounting Technology Corp.		147,912
	5,360	Test Research, Inc.		28,605
	25,000	Transcend Information, Inc.		90,976
	28,000	Tripod Technology Corp.		184,429
	8,000	TTY Biopharm Co. Ltd.		19,173
	19,000	Tung Ho Steel Enterprise Corp.		40,537
	16,000	TXC Corp.		55,984
	6,000	United Microelectronics Corp.		10,215
	28,000	Wisdom Marine Lines Co. Ltd. *		67,176
	620,000	Yang Ming Marine Transport Corp.		1,370,196
	332,895	Yuanta Financial Holding Co. Ltd.		326,227
		Total Taiwan		30,584,317
		Thailand — 0.6%
	856,100	AP Thailand PCL NVDR		214,560
	168,000	Bangkok Bank PCL NVDR		623,964
	797,200	BTS Group Holdings PCL NVDR		104,011
	39,600	GFPT PCL NVDR		14,470
	304,100	Kasikornbank PCL NVDR		1,084,531
	4,156,000	Krung Thai Bank PCL NVDR		1,945,415
	1,069,600	Land & Houses PCL NVDR		191,883
	127,800	Muangthai Capital PCL NVDR		154,583
	34,532	Pruksa Holding PCL NVDR		9,402
	241,400	PTT Exploration & Production PCL NVDR		1,015,086
	486,300	PTT PCL NVDR		433,817
	23,600	Regional Container Lines PCL NVDR		19,082
	682,900	Sansiri PCL NVDR		29,595
	137,300	SCB X PCL NVDR		396,454
	7,700	Siam Cement PCL NVDR		49,478
	52,300	Somboon Advance Technology PCL NVDR		21,062
	154,400	Sri Trang Agro-Industry PCL NVDR		99,253
	99,600	Sri Trang Gloves Thailand PCL NVDR		30,354
	93,300	Supalai PCL NVDR		46,979
	91,100	Thai Oil PCL NVDR		128,620
		Total Thailand		6,612,599
		Turkey — 0.5%
	790,701	Akbank TAS		1,620,842
	430,631	Aselsan Elektronik Sanayi Ve Ticaret AS		783,330
	23,883	Dogus Otomotiv Servis ve Ticaret AS		224,482
	101,949	KOC Holding AS		753,372
	49,647	Mavi Giyim Sanayi Ve Ticaret AS – Class B		147,147

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	19,092	Turk Hava Yollari AO *		179,542
	111,569	Vestel Beyaz Esya Sanayi ve Ticaret AS		82,568
	1,512,630	Yapi ve Kredi Bankasi AS		1,517,938
		Total Turkey		5,309,221
		United Arab Emirates — 0.1%
	107,440	Emirates NBD Bank PJSC		455,128
		United Kingdom — 4.4%
	174,864	3i Group PLC		6,443,203
	54,388	abrdn PLC (a)		108,223
	24,794	BAE Systems PLC (b)		441,482
	9,485	Balfour Beatty PLC		45,072
	4,859	Bank of Georgia Group PLC		230,986
	266,135	Barratt Developments PLC (a)		1,725,740
	22,675	Bellway PLC		780,778
	36,352	Berkeley Group Holdings PLC		2,453,051
	8,280	British American Tobacco PLC (b)		256,058
	2,761,138	BT Group PLC (a)		4,622,795
	53,192	Centamin PLC		81,365
	6,403	Close Brothers Group PLC		39,199
	48,974	Coca-Cola HBC AG		1,661,947
	66,815	Compass Group PLC (b)		1,875,911
	7,309	Crest Nicholson Holdings PLC (a)		22,287
	2,368	CRH PLC (b)		193,608
	23,265	Evraz PLC * (e)		607
	116,800	Ferrexpo PLC *		62,249
	1,720	Galliford Try Holdings PLC		5,874
	19,945	GSK PLC		447,526
	68,950	GSK PLC Sponsored ADR (a)		3,086,891
	30,515	Howden Joinery Group PLC		355,891
	290,085	HSBC Holdings PLC		2,585,493
	19,346	HSBC Holdings PLC Sponsored ADR		863,799
	65,772	IG Group Holdings PLC		680,403
	22,567	Imperial Brands PLC		560,770
	17,373	International Personal Finance PLC		24,942
	22,182	Investec PLC		148,431
	478,472	ITV PLC		487,349
	211,322	J Sainsbury PLC		749,230
	1,636	Johnson Matthey PLC		36,791
	4,789	Keller Group PLC		79,357
	482,441	Kingfisher PLC		1,633,260
	2,018,804	Lloyds Banking Group PLC		1,441,145
	62,388	MONY Group PLC		180,626
	7,241	Morgan Advanced Materials PLC		28,664
	5,953	Morgan Sindall Group PLC		192,437
	199,338	NatWest Group PLC		806,381
	67,523	OSB Group PLC		401,551
	20,286	Paragon Banking Group PLC		198,140
	44,955	Persimmon PLC		839,860
	20,638	Plus500 Ltd.		587,854
	32,369	Premier Foods PLC		71,302

Shares		Description	Value ($)
		United Kingdom — continued
	65,032	Redrow PLC		593,846
	3,463	RELX PLC (b)		151,921
	2,780	RELX PLC Sponsored ADR (b)		122,209
	13,687	Rio Tinto PLC Sponsored ADR (b)		959,459
	2,887	Rio Tinto PLC (b)		203,237
	3,328	Sage Group PLC (b)		43,715
	16,889	Serica Energy PLC		37,836
	42,263	Shell PLC		1,525,472
	2,670	Shell PLC ADR (b)		194,323
	15,165	Spirent Communications PLC		35,671
	16,171	Standard Chartered PLC		161,073
	505,534	Taylor Wimpey PLC		957,082
	3,340	TBC Bank Group PLC		108,746
	65,764	Tesco PLC (b)		261,603
	5,558	Travis Perkins PLC		61,319
	38,621	Unilever PLC Sponsored ADR (b)		2,114,500
	21,288	Vesuvius PLC		133,053
	940,967	Vodafone Group PLC (b)		909,726
	291,947	Vodafone Group PLC Sponsored ADR (b)		2,808,530
	35,451	Zigup PLC		198,056
		Total United Kingdom		49,119,905
		United States — 18.7%
	18,167	3M Co. (a) (b)		1,819,243
	3,217	Academy Sports & Outdoors, Inc. (a)		185,589
	972	Adtalem Global Education, Inc. * (a)		62,587
	1,510	Affiliated Managers Group, Inc.		245,526
	5,413	Aflac, Inc. (a)		486,466
	3,604	AGCO Corp. (a)		386,817
	12,661	Akamai Technologies, Inc. * (a)		1,167,851
	2,339	Allison Transmission Holdings, Inc. (a)		177,320
	54,238	Ally Financial, Inc.		2,113,655
	33,828	Alphabet, Inc. – Class A * (b)		5,835,330
	9,076	Alphabet, Inc. – Class C * (b)		1,578,861
	7,266	Amazon.com, Inc. * (b)		1,282,013
	12,917	American Express Co. (b)		3,100,080
	9,201	Arch Capital Group Ltd. * (b)		944,299
	16,565	Archer-Daniels-Midland Co. (a)		1,034,319
	3,274	Arrow Electronics, Inc. *		429,909
	2,809	Aspen Technology, Inc. * (a)		591,716
	3,712	AT&T, Inc. (b)		67,633
	814	Atkore, Inc. (a)		123,850
	1,595	AutoNation, Inc. * (a)		271,549
	2,561	Avnet, Inc.		139,831
	72,225	Bank of America Corp. (b)		2,888,278
	13,356	Bank of New York Mellon Corp. (b)		796,151
	1,033	Berry Global Group, Inc. (a)		61,856
	8,202	Best Buy Co., Inc. (a)		695,694
	4,902	Bio-Rad Laboratories, Inc. – Class A * (a)		1,406,188
	545	Booking Holdings, Inc. (b)		2,058,111
	90,566	BorgWarner, Inc.		3,229,583
	23,177	Bristol-Myers Squibb Co.		952,343

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,406	Brunswick Corp. (a)		116,037
	9,582	Builders FirstSource, Inc. * (a)		1,540,690
	3,154	Bunge Global SA (a)		339,339
	19,169	Capital One Financial Corp. (b)		2,638,229
	13,737	CarMax, Inc. * (a)		965,162
	1,200	Carter’s, Inc. (a)		82,080
	5,609	CBRE Group, Inc. – Class A * (b)		493,985
	30,432	Centene Corp. * (a) (b)		2,178,627
	22,070	Chevron Corp. (b)		3,581,961
	3,620	Cigna Group (b)		1,247,524
	73,270	Cisco Systems, Inc. (a) (b)		3,407,055
	52,931	Citigroup, Inc.		3,298,131
	83,835	Cleveland-Cliffs, Inc. *		1,448,669
	33,849	Cognizant Technology Solutions Corp. – Class A (a) (b)		2,239,111
	80,895	Comcast Corp. – Class A (b)		3,238,227
	2,458	Commercial Metals Co.		138,435
	3,206	Corebridge Financial, Inc. (a)		93,519
	999	Crane NXT Co. (a)		63,157
	3,173	Crocs, Inc. *		493,846
	3,164	Cummins, Inc. (a) (b)		891,394
	45,646	CVS Health Corp. (b)		2,720,502
	25,538	Darling Ingredients, Inc. * (a)		1,031,735
	19,772	Discover Financial Services		2,425,233
	7,113	DR Horton, Inc. (a) (b)		1,051,301
	17,002	Dropbox, Inc. – Class A * (a)		383,055
	50,114	eBay, Inc. (b)		2,717,181
	2,458	Elevance Health, Inc. (a) (b)		1,323,584
	527	Encore Wire Corp.		152,161
	2,010	Enphase Energy, Inc. * (a)		257,079
	18,516	EOG Resources, Inc. (a)		2,306,168
	509	EPAM Systems, Inc. * (b)		90,566
	19,518	Etsy, Inc. * (a)		1,238,807
	551	Everest Group Ltd.		215,402
	12,214	Expedia Group, Inc. * (b)		1,378,472
	20,488	Exxon Mobil Corp. (a)		2,402,423
	4,809	F5, Inc. * (a)		812,577
	3,283	Federated Hermes, Inc.		108,897
	29,703	Fidelity National Financial, Inc. (a)		1,495,843
	1,969	Foot Locker, Inc. (a)		54,600
	211,235	Ford Motor Co. (b)		2,562,280
	10,451	Fox Corp. – Class A (a)		359,828
	56,024	Fox Corp. – Class B		1,789,407
	64,599	Franklin Resources, Inc. (a)		1,524,536
	431	Garmin Ltd. (a)		70,619
	23,694	GE HealthCare Technologies, Inc. (a) (b)		1,848,132
	4,728	General Electric Co. (b)		780,782
	8,503	General Mills, Inc. (a)		584,581
	51,070	General Motors Co. (b)		2,297,639
	11,482	Gilead Sciences, Inc. (a)		737,948
	3,643	Goldman Sachs Group, Inc. (a)		1,663,102
	100	Graham Holdings Co. – Class B (a)		75,243

Shares		Description	Value ($)
		United States — continued
	14,634	Green Plains, Inc. * (a)		251,266
	640	Group 1 Automotive, Inc. (a)		199,027
	6,651	H&R Block, Inc. (a)		330,156
	6,291	Hartford Financial Services Group, Inc. (b)		650,804
	125,088	Hewlett Packard Enterprise Co.		2,207,803
	6,760	Hilton Worldwide Holdings, Inc. (b)		1,356,056
	700	HNI Corp. (a)		32,935
	81,999	HP, Inc.		2,992,963
	2,175	Humana, Inc. (b)		778,911
	30,249	Incyte Corp. * (a)		1,748,090
	85,316	Intel Corp.		2,631,999
	14,684	Intercontinental Exchange, Inc. (a) (b)		1,966,188
	19,730	International Business Machines Corp. (b)		3,291,950
	5,732	International Paper Co. (a)		258,456
	13,951	Invesco Ltd.		219,170
	2,379	Jackson Financial, Inc. – Class A (a)		180,828
	4,406	Janus Henderson Group PLC		147,601
	12,876	Jazz Pharmaceuticals PLC * (a)		1,355,199
	17,133	Johnson & Johnson (a)		2,512,897
	17,707	JPMorgan Chase & Co. (b)		3,587,969
	2,055	Keysight Technologies, Inc. * (a)		284,576
	100,074	Kinder Morgan, Inc. (a)		1,950,442
	6,081	Kohl’s Corp.		136,154
	62,028	Kraft Heinz Co. (a)		2,193,930
	20,833	Kroger Co. (b)		1,091,024
	1,689	Lam Research Corp. (a)		1,574,891
	29,237	Las Vegas Sands Corp. (b)		1,316,542
	1,773	La-Z-Boy, Inc.		66,523
	2,469	Lear Corp.		309,489
	6,705	Lennar Corp. – Class A (a) (b)		1,075,147
	5,852	LyondellBasell Industries NV – Class A (b)		581,806
	4,073	M&T Bank Corp. (a)		617,467
	5,780	Macy’s, Inc. (a)		112,594
	2,140	ManpowerGroup, Inc. (b)		159,687
	963	Markel Group, Inc. * (a)		1,580,851
	48,688	Match Group, Inc. * (a)		1,491,313
	177	Matson, Inc.		22,691
	9,747	Medtronic PLC (b)		793,113
	25,277	Merck & Co., Inc.		3,173,275
	12,273	Meta Platforms, Inc. – Class A (b)		5,729,405
	20,962	MGIC Investment Corp. (a)		440,202
	16,373	Micron Technology, Inc. (b)		2,046,625
	12,856	Moderna, Inc. * (a)		1,832,623
	4,409	Morgan Stanley (a)		431,377
	25,291	Mosaic Co.		782,251
	1,547	Mueller Industries, Inc. (a)		91,134
	13,596	Nucor Corp. (b)		2,295,685
	20,126	ON Semiconductor Corp. * (a)		1,470,003
	2,022	OneMain Holdings, Inc. (a)		99,321
	23	Oracle Corp. (b)		2,695
	10,273	Otis Worldwide Corp. (a)		1,019,082
	29,467	Ovintiv, Inc.		1,522,560

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,414	Owens Corning		256,033
	16,882	PACCAR, Inc. (a)		1,814,815
	128,871	Paramount Global – Class B (a)		1,534,854
	42,398	PayPal Holdings, Inc. * (b)		2,670,650
	122,662	Pfizer, Inc.		3,515,493
	2,448	Polaris, Inc. (a)		204,653
	2,492	Premier, Inc. – Class A (a)		47,149
	10,213	PulteGroup, Inc.		1,198,189
	12,385	QUALCOMM, Inc.		2,527,159
	12,493	Radian Group, Inc.		390,281
	3,068	Regeneron Pharmaceuticals, Inc. *		3,007,131
	1,870	Signet Jewelers Ltd.		204,746
	906	Skechers U.S.A., Inc. – Class A *		64,706
	18,638	Skyworks Solutions, Inc.		1,726,997
	2,250	SLM Corp.		48,285
	7,849	SolarEdge Technologies, Inc. * (a)		384,522
	4,541	Solventum Corp. * (a)		269,463
	2,189	SS&C Technologies Holdings, Inc. (b)		135,827
	7,039	State Street Corp. (a)		532,078
	16,461	Steel Dynamics, Inc. (a)		2,203,634
	51,415	Synchrony Financial (a)		2,251,977
	4,462	T Rowe Price Group, Inc. (a)		525,757
	3,771	Tapestry, Inc. (a)		164,001
	4,704	TE Connectivity Ltd.		704,189
	6,991	Texas Instruments, Inc. (a)		1,363,315
	4,780	Textron, Inc. (a)		418,776
	25,587	Tyson Foods, Inc. – Class A (a)		1,464,856
	33,974	U.S. Bancorp (a)		1,377,646
	1,799	UFP Industries, Inc.		214,944
	1,703	United Therapeutics Corp. *		468,546
	1,705	UnitedHealth Group, Inc. (b)		844,606
	7,444	Unum Group		400,934
	7,205	Valero Energy Corp.		1,132,194
	87,172	Verizon Communications, Inc. (b)		3,587,128
	12,366	VF Corp. (a)		164,220
	185,840	Viatris, Inc. (a)		1,969,904
	107,249	Walgreens Boots Alliance, Inc. (a)		1,739,579
	43,651	Wells Fargo & Co. (a)		2,615,568
	25,482	Western Union Co. (a)		326,170
	1,504	Westlake Corp. (a)		241,482
	2,380	Whirlpool Corp. (a)		221,411
	26,866	Zoom Video Communications, Inc. – Class A * (a) (b)		1,647,960
		Total United States		208,664,083
		Vietnam — 0.1%
	65,036	Duc Giang Chemicals JSC		323,559
	7,300	IDICO Corp. JSC		18,312
	48,100	PetroVietNam Ca Mau Fertilizer JSC		71,220
	19,500	PetroVietnam Technical Services Corp.		33,292
	14,900	Petrovietnam Transportation Corp.		17,741
	12,400	Sai Gon-Ha Noi Securities JSC *		8,855

Shares		Description	Value ($)
		Vietnam — continued
	233,000	SSI Securities Corp.		319,519
	73,000	Vietnam Dairy Products JSC		187,931
	110,646	Vietnam Joint Stock Commercial Bank for Industry & Trade *		139,224
	94,900	VIX Securities JSC *		67,627
	414,435	VNDirect Securities Corp. *		291,719
		Total Vietnam		1,478,999
		TOTAL COMMON STOCKS (COST $850,925,218)		850,780,832
		PREFERRED STOCKS (g) — 1.3%
		Brazil — 0.7%
	322,431	Bradespar SA		1,178,974
	5,600	Cia de Ferro Ligas da Bahia FERBASA		8,479
	797,603	Cia Energetica de Minas Gerais		1,511,388
	22,660	Gerdau SA		78,153
	297,533	Gerdau SA Sponsored ADR		1,029,464
	274,502	Itausa SA		508,656
	229,513	Petroleo Brasileiro SA		1,695,483
	119,976	Petroleo Brasileiro SA ADR		1,776,845
	2,820	Unipar Carbocloro SA – Class B		26,858
		Total Brazil		7,814,300
		Colombia — 0.0%
	17,959	Bancolombia SA Sponsored ADR		636,826
		Germany — 0.4%
	10,364	Bayerische Motoren Werke AG		1,001,942
	1,147	Draegerwerk AG & Co. KGaA		62,779
	623	Henkel AG & Co. KGaA (b)		56,400
	1,603	Jungheinrich AG		62,640
	28,562	Porsche Automobil Holding SE		1,576,010
	512	Villeroy & Boch AG		9,401
	15,068	Volkswagen AG		1,893,462
		Total Germany		4,662,634
		Russia — 0.0%
	12,924	Bashneft PJSC (e)		2,773
	56,000	Nizhnekamskneftekhim PJSC (e)		454
	20,810	Sberbank of Russia PJSC * (e) (f)		719
	9,254,300	Surgutneftegas PJSC (e)		69,321
	16,100	Transneft PJSC (e)		2,823
		Total Russia		76,090
		South Korea — 0.2%
	8	Hyundai Motor Co. (c)		890
	805	Hyundai Motor Co. (c)		89,513
	1,238	Hyundai Motor Co. GDR		69,735
	1,194	LG Electronics, Inc.		40,659
	36,601	Samsung Electronics Co. Ltd.		1,596,940

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares / Par Value†		Description	Value ($)
		South Korea — continued
	51	Samsung Electronics Co. Ltd. (Registered)		55,947
		Total South Korea		1,853,684
		TOTAL PREFERRED STOCKS (COST $20,034,450)		15,043,534
		RIGHTS/WARRANTS — 0.0%
		Vietnam — 0.0%
	78,940	VNDirect Securities Corp., expires 07/03/24 * (d)		24,198
		TOTAL RIGHTS/WARRANTS (COST $0)		24,198
		DEBT OBLIGATIONS — 15.8%
		United States — 15.8%
		U.S. Government — 14.9%
	10,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26		10,021,973
	28,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26		28,012,991
	85,390,349	U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (b)		80,276,521
	49,878,726	U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34 (b)		48,174,560
		Total U.S. Government		166,486,045
		U.S. Government Agency — 0.9%
	9,500,000	Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24		9,502,092
		Total United States		175,988,137
		TOTAL DEBT OBLIGATIONS (COST $175,060,343)		175,988,137
		MUTUAL FUNDS — 19.5%
		United States — 19.5%
		Affiliated Issuers — 19.5%
	588,768	GMO Climate Change Fund, Class III		13,965,580
	2,272,385	GMO Emerging Country Debt Fund, Class VI		44,606,909
	770,852	GMO High Yield Fund, Class VI		13,913,888
	2,112,958	GMO Opportunistic Income Fund, Class VI		50,753,240
	2,262,028	GMO Resources Fund, Class VI		51,868,307

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	8,620,323		GMO U.S. Treasury Fund (h)		43,101,616
			Total Affiliated Issuers		218,209,540
			TOTAL MUTUAL FUNDS (COST $231,387,165)		218,209,540
			SHORT-TERM INVESTMENTS — 8.4%
			Money Market Funds — 0.3%
	3,188,952		State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (i)		3,188,952
			Repurchase Agreements — 8.1%
	89,999,770		Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $90,039,595 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $92,115,289.		89,999,770
			TOTAL SHORT-TERM INVESTMENTS (COST $93,188,722)		93,188,722
			TOTAL INVESTMENTS — 121.2% (Cost $1,370,595,898)		1,353,234,963
			SECURITIES SOLD SHORT — (17.9)%
			Common Stocks — (17.8)%
			Australia — (0.7)%
	(23,744	)	ASX Ltd.		(988,764	)
	(15,953	)	CAR Group Ltd.		(372,511	)
	(5,918	)	Cochlear Ltd.		(1,275,282	)
	(59,524	)	IDP Education Ltd.		(636,915	)
	(169,536	)	Lottery Corp. Ltd.		(552,084	)
	(1,507	)	Mineral Resources Ltd.		(72,410	)
	(21,199	)	Ramsay Health Care Ltd.		(667,148	)
	(799	)	REA Group Ltd.		(99,921	)
	(19,492	)	WiseTech Global Ltd.		(1,266,870	)
	(19,871	)	Xero Ltd. *		(1,804,172	)
			Total Australia		(7,736,077	)
			Austria — (0.1)%
	(10,005	)	Verbund AG		(821,480	)
			Belgium — (0.2)%
	(24,688	)	Anheuser-Busch InBev SA		(1,557,604	)
	(38	)	Lotus Bakeries NV		(403,215	)
			Total Belgium		(1,960,819	)
			Canada — (1.3)%
	(7,813	)	Agnico Eagle Mines Ltd.		(532,925	)
	(73,900	)	AltaGas Ltd.		(1,667,284	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Canada — continued
	(27,553	)	Brookfield Renewable Corp. – Class A		(869,022	)
	(36,332	)	Cameco Corp.		(2,016,789	)
	(50,150	)	Enbridge, Inc.		(1,834,487	)
	(13,544	)	Franco-Nevada Corp.		(1,676,747	)
	(47,600	)	GFL Environmental, Inc.		(1,497,972	)
	(26,748	)	Pan American Silver Corp.		(588,456	)
	(49,101	)	Pembina Pipeline Corp.		(1,823,120	)
	(22,267	)	Restaurant Brands International, Inc.		(1,527,071	)
			Total Canada		(14,033,873	)
			China — (0.0)%
	(1,391	)	Yum China Holdings, Inc.		(49,742	)
			Denmark — (0.1)%
	(10,888	)	Coloplast AS – Class B		(1,309,577	)
	(2,233	)	Novo Nordisk AS – Class B		(302,545	)
			Total Denmark		(1,612,122	)
			Finland — (0.0)%
	(3,958	)	Elisa OYJ		(184,425	)
			France — (0.5)%
	(32,176	)	Accor SA *		(1,403,726	)
	(8,024	)	Aeroports de Paris SA		(1,149,803	)
	(85,857	)	Getlink SE		(1,513,018	)
	(769	)	Hermes International SCA		(1,825,313	)
	(709	)	Sartorius Stedim Biotech		(141,237	)
	(609	)	Sodexo SA		(56,721	)
			Total France		(6,089,818	)
			Germany — (0.9)%
	(7,799	)	adidas AG		(1,975,255	)
	(3,641	)	Covestro AG *		(196,173	)
	(49,327	)	Delivery Hero SE *		(1,510,980	)
	(6,714	)	MTU Aero Engines AG		(1,677,144	)
	(123	)	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		(61,340	)
	(1,091	)	Rational AG		(931,022	)
	(109	)	Rheinmetall AG		(62,830	)
	(23,530	)	Siemens Energy AG *		(640,751	)
	(13,483	)	Symrise AG		(1,610,552	)
	(7,527	)	Talanx AG		(600,403	)
	(2,478	)	Vonovia SE		(77,897	)
	(10,417	)	Zalando SE *		(276,668	)
			Total Germany		(9,621,015	)
			Israel — (0.2)%
	(7,163	)	CyberArk Software Ltd. *		(1,642,118	)
	(1,245	)	Monday.com Ltd. *		(281,258	)
			Total Israel		(1,923,376	)

Shares			Description	Value ($)
			Italy — (0.6)%
	(41,161	)	Amplifon SpA		(1,521,437	)
	(281	)	DiaSorin SpA		(30,325	)
	(4,535	)	Ferrari NV		(1,868,792	)
	(103,891	)	FinecoBank Banca Fineco SpA		(1,684,960	)
	(112,566	)	Infrastrutture Wireless Italiane SpA		(1,234,164	)
			Total Italy		(6,339,678	)
			Japan — (1.5)%
	(1,100	)	Advantest Corp.		(36,617	)
	(75,200	)	Aeon Co. Ltd.		(1,621,997	)
	(23,600	)	Asahi Intecc Co. Ltd.		(341,037	)
	(4,600	)	Disco Corp.		(1,809,451	)
	(8,100	)	East Japan Railway Co.		(140,466	)
	(1,400	)	Ibiden Co. Ltd.		(56,611	)
	(56,100	)	Japan Exchange Group, Inc.		(1,318,629	)
	(11,700	)	Keisei Electric Railway Co. Ltd.		(420,223	)
	(25,600	)	Kintetsu Group Holdings Co. Ltd.		(544,261	)
	(25,100	)	Kobe Bussan Co. Ltd.		(555,178	)
	(7,000	)	Lasertec Corp.		(1,799,812	)
	(72,300	)	MonotaRO Co. Ltd.		(763,736	)
	(53,700	)	Oriental Land Co. Ltd.		(1,501,272	)
	(299,200	)	Rakuten Group, Inc. *		(1,556,175	)
	(8,100	)	Resona Holdings, Inc.		(56,225	)
	(10,000	)	Sharp Corp. *		(61,790	)
	(23,500	)	Shiseido Co. Ltd.		(745,824	)
	(148,400	)	SoftBank Corp.		(1,779,348	)
	(11,200	)	SoftBank Group Corp.		(648,116	)
	(16,100	)	Tobu Railway Co. Ltd.		(284,542	)
	(64,200	)	Tokyu Corp.		(749,017	)
	(8,500	)	West Japan Railway Co.		(169,580	)
	(8,100	)	Zensho Holdings Co. Ltd.		(318,930	)
			Total Japan		(17,278,837	)
			Netherlands — (0.5)%
	(1,163	)	Adyen NV *		(1,508,159	)
	(10,108	)	BE Semiconductor Industries NV		(1,503,745	)
	(26,979	)	OCI NV		(739,927	)
	(58,747	)	Universal Music Group NV		(1,830,771	)
			Total Netherlands		(5,582,602	)
			Peru — (0.2)%
	(14,939	)	Southern Copper Corp.		(1,772,250	)
			Singapore — (0.2)%
	(468,227	)	Grab Holdings Ltd. – Class A *		(1,718,393	)
	(833,655	)	Seatrium Ltd. *		(1,088,175	)
			Total Singapore		(2,806,568	)
			Spain — (0.3)%
	(48,210	)	Cellnex Telecom SA *		(1,761,113	)
	(47,388	)	Ferrovial SE		(1,872,807	)
			Total Spain		(3,633,920	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Sweden — (0.3)%
	(53,464	)	Beijer Ref AB		(875,194	)
	(50,603	)	EQT AB		(1,550,057	)
	(76	)	Evolution AB		(8,198	)
	(28,756	)	H & M Hennes & Mauritz AB – Class B		(508,470	)
			Total Sweden		(2,941,919	)
			Switzerland — (0.2)%
	(7,502	)	Avolta AG		(304,611	)
	(1,104	)	Bachem Holding AG		(99,809	)
	(96	)	Lonza Group AG (Registered)		(52,114	)
	(560	)	Partners Group Holding AG		(753,663	)
	(12,857	)	SIG Group AG		(267,780	)
	(622	)	VAT Group AG		(341,097	)
			Total Switzerland		(1,819,074	)
			United Kingdom — (1.3)%
	(11,109	)	Admiral Group PLC		(385,424	)
	(154,032	)	Auto Trader Group PLC		(1,620,336	)
	(7,695	)	Flutter Entertainment PLC *		(1,480,782	)
	(62,842	)	Hargreaves Lansdown PLC		(853,112	)
	(174,810	)	Informa PLC		(1,902,636	)
	(16,149	)	InterContinental Hotels Group PLC		(1,639,911	)
	(16,612	)	London Stock Exchange Group PLC		(1,947,201	)
	(193,680	)	M&G PLC		(495,188	)
	(5,769	)	Melrose Industries PLC		(45,651	)
	(119,337	)	Phoenix Group Holdings PLC		(759,364	)
	(314,402	)	Rolls-Royce Holdings PLC *		(1,836,381	)
	(23,368	)	Severn Trent PLC		(714,050	)
	(2,369	)	Spirax-Sarco Engineering PLC		(270,894	)
	(95,842	)	Wise PLC – Class A *		(1,007,112	)
			Total United Kingdom		(14,958,042	)
			United States — (8.7)%
	(6,743	)	AbbVie, Inc.		(1,087,241	)
	(93,022	)	AES Corp.		(2,008,345	)
	(10,525	)	Alnylam Pharmaceuticals, Inc. *		(1,562,226	)
	(4,356	)	American Tower Corp. – (REIT)		(852,643	)
	(6,061	)	Amgen, Inc.		(1,853,757	)
	(2,849	)	Analog Devices, Inc.		(668,062	)
	(7,524	)	Arthur J Gallagher & Co.		(1,906,055	)
	(5,644	)	Axon Enterprise, Inc. *		(1,589,746	)
	(6,029	)	Bill Holdings, Inc. *		(313,809	)
	(9,549	)	Boeing Co. *		(1,695,998	)
	(1,459	)	Broadcom, Inc.		(1,938,354	)
	(7,902	)	Burlington Stores, Inc. *		(1,896,875	)
	(37,760	)	Caesars Entertainment, Inc. *		(1,342,746	)
	(18,481	)	Celsius Holdings, Inc. *		(1,478,110	)
	(25	)	Charles Schwab Corp.		(1,832	)
	(609	)	Chipotle Mexican Grill, Inc. *		(1,905,878	)
	(20,151	)	Cloudflare, Inc. – Class A *		(1,364,021	)
	(3,627	)	Coinbase Global, Inc. – Class A *		(819,412	)

Shares			Description	Value ($)
			United States — continued
	(3,844	)	Confluent, Inc. – Class A *		(99,829	)
	(24,312	)	Dayforce, Inc. *		(1,202,472	)
	(14,274	)	Dexcom, Inc. *		(1,695,323	)
	(3,324	)	Dominion Energy, Inc.		(179,230	)
	(41,353	)	DraftKings, Inc. – Class A *		(1,452,731	)
	(36,118	)	EQT Corp.		(1,484,089	)
	(5,921	)	Equity LifeStyle Properties, Inc. – (REIT)		(371,661	)
	(2,417	)	Erie Indemnity Co. – Class A		(875,993	)
	(25,992	)	Exact Sciences Corp. *		(1,181,336	)
	(1,480	)	Fair Isaac Corp. *		(1,909,096	)
	(1,733	)	Fastenal Co.		(114,343	)
	(27,161	)	Fidelity National Information Services, Inc.		(2,060,977	)
	(3,287	)	Fortinet, Inc. *		(194,985	)
	(3,304	)	Gartner, Inc. *		(1,386,590	)
	(2,916	)	HubSpot, Inc. *		(1,781,822	)
	(5,348	)	Hyatt Hotels Corp. – Class A		(788,670	)
	(9,155	)	Insulet Corp. *		(1,622,174	)
	(6,261	)	IQVIA Holdings, Inc. *		(1,371,723	)
	(12,061	)	Iron Mountain, Inc. – (REIT)		(973,202	)
	(2,196	)	Lamb Weston Holdings, Inc.		(193,885	)
	(15,794	)	Lattice Semiconductor Corp. *		(1,172,547	)
	(24,254	)	Liberty Media Corp.-Liberty Formula One – Class C *		(1,798,192	)
	(4,256	)	Linde PLC		(1,853,573	)
	(18,843	)	Live Nation Entertainment, Inc. *		(1,766,343	)
	(3,449	)	Manhattan Associates, Inc. *		(757,193	)
	(2,367	)	MarketAxess Holdings, Inc.		(470,867	)
	(1,074	)	Marvell Technology, Inc.		(73,902	)
	(4,178	)	Mastercard, Inc. – Class A		(1,867,858	)
	(3,053	)	McKesson Corp.		(1,738,958	)
	(1,164	)	MercadoLibre, Inc. *		(2,008,575	)
	(4,511	)	MongoDB, Inc. *		(1,064,867	)
	(3,545	)	Moody’s Corp.		(1,407,330	)
	(359	)	Motorola Solutions, Inc.		(131,003	)
	(3,330	)	MSCI, Inc.		(1,648,949	)
	(46,625	)	Newmont Corp.		(1,955,453	)
	(14,873	)	NiSource, Inc.		(432,209	)
	(17,476	)	Okta, Inc. *		(1,549,772	)
	(25,000	)	ONEOK, Inc.		(2,025,000	)
	(77,468	)	Palantir Technologies, Inc. – Class A *		(1,679,506	)
	(1,589	)	Palo Alto Networks, Inc. *		(468,612	)
	(11,855	)	Paychex, Inc.		(1,424,497	)
	(4,312	)	PTC, Inc. *		(759,947	)
	(9,043	)	Repligen Corp. *		(1,348,221	)
	(65,620	)	Rivian Automotive, Inc. – Class A *		(716,570	)
	(41,331	)	ROBLOX Corp. – Class A *		(1,389,548	)
	(22,388	)	Roku, Inc. *		(1,285,071	)
	(37,630	)	Rollins, Inc.		(1,719,315	)
	(23,530	)	Samsara, Inc. – Class A *		(798,373	)
	(2,894	)	Seagate Technology Holdings PLC		(269,837	)
	(1,839	)	Simon Property Group, Inc. – (REIT)		(278,259	)
	(11,166	)	Snap, Inc. – Class A *		(167,713	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(10,963	)	Snowflake, Inc. – Class A *		(1,492,941	)
	(36	)	Starbucks Corp.		(2,888	)
	(202	)	Super Micro Computer, Inc. *		(158,471	)
	(10,023	)	Tesla, Inc. *		(1,784,896	)
	(381	)	Texas Pacific Land Corp.		(234,052	)
	(71,135	)	Toast, Inc. – Class A *		(1,723,601	)
	(4,208	)	Trade Desk, Inc. – Class A *		(390,418	)
	(1,497	)	TransDigm Group, Inc.		(2,010,815	)
	(12,231	)	Uber Technologies, Inc. *		(789,633	)
	(19,956	)	Unity Software, Inc. *		(364,596	)
	(6,526	)	Vail Resorts, Inc.		(1,231,587	)
	(5,518	)	Vistra Corp.		(546,723	)
	(3,825	)	Watsco, Inc.		(1,816,493	)
	(49,390	)	Williams Cos., Inc.		(2,050,179	)
	(2,987	)	Zillow Group, Inc. – Class C *		(122,318	)
	(8,613	)	Zscaler, Inc. *		(1,463,865	)
			Total United States		(97,436,777	)
			TOTAL COMMON STOCKS (PROCEEDS $166,670,820)		(198,602,414	)

Shares			Description	Value ($)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(4,629	)	Sartorius AG		(1,226,998	)
			TOTAL PREFERRED STOCKS (PROCEEDS $1,710,838)		(1,226,998	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $168,381,658)		(199,829,412	)
			Other Assets and Liabilities (net) — (3.3)%		(36,730,542	)
			TOTAL NET ASSETS — 100.0%		$1,116,675,009

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
Alrosa PJSC	12/06/17	$	4,239,436	0.0%	$	25,114
Magnitogorsk Iron & Steel Works PJSC	09/08/17		1,550,653	0.0%		11,340
Mechel PJSC	11/15/21		47,412	0.0%		605
PhosAgro PJSC GDR	12/03/20		1,365	0.0%		15
Polyus PJSC	07/22/20		2,148,976	0.0%		13,795
Polyus PJSC GDR (Registered)	02/24/23		0	0.0%		1
Sberbank of Russia PJSC	09/09/20		12,774,954	0.0%		127,092
Sberbank of Russia PJSC	01/10/22		77,024	0.0%		719
Severstal PAO	02/02/21		7,249	0.0%		84
Severstal PAO GDR (Registered)	03/16/20		1,679,360	0.0%		17,935
					$	196,700

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
175	U.S. Treasury Note 10 Yr. (CBT)	September 2024		19,039,453		31,941
243	U.S. Treasury Note 5 Yr. (CBT)	September 2024		25,708,641		(64,656	)
			$	44,748,094	$	(32,715	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Swap Contracts 

Centrally Cleared Credit Default Swaps 

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S42		USD 12,450,000		5.00%	3.36%		N/A		06/20/2029	Quarterly	$	(823,903	)	$	(840,624	)	$	(16,721	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps 

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	GS	USD	6,352,982		06/24/2024	Monthly		—		173,602		173,602
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	11,016,346		06/18/2024	Monthly		—		1,139,659		1,139,659
								$	—	$	1,313,261	$	1,313,261

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued using significant unobservable inputs.

(e) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(f) The security is restricted as to resale.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) All or a portion of this security is purchased with collateral from securities loaned.

(i) The rate disclosed is the 7 day net yield as of May 31, 2024.

(j) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital

Services LLC

Currency Abbreviations:

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.8%
		Affiliated Issuers — 99.8%
	2,513,088	GMO Alternative Allocation Fund, Class VI		46,793,707
	1,136,467	GMO Asset Allocation Bond Fund, Class VI		21,161,007
	166,214	GMO Climate Change Fund, Class III		3,942,590
	575,147	GMO Emerging Country Debt Fund, Class VI		11,290,133
	730,133	GMO Emerging Markets ex-China Fund, Class VI		11,251,353
	897,491	GMO Emerging Markets Fund, Class VI		22,024,420
	2,233,148	GMO International Equity Fund, Class IV		56,788,958
	1,707,570	GMO International Opportunistic Value Fund, Class IV		26,569,788
	1,082,838	GMO-Usonian Japan Value Creation Fund, Class VI		21,851,662
	2,466,342	GMO Multi-Sector Fixed Income Fund, Class IV		42,593,733
	448,710	GMO Opportunistic Income Fund, Class VI		10,778,013
	475,035	GMO Quality Cyclicals Fund, Class VI		11,391,347
	350,811	GMO Quality Fund, Class VI		11,127,737
	325,050	GMO Resources Fund, Class VI		7,453,387
	450,297	GMO Small Cap Quality Fund, Class VI		11,122,335
	1,320,908	GMO U.S. Equity Fund, Class VI		19,021,072
	1,142,134	GMO U.S. Opportunistic Value Fund, Class VI		26,417,566
	377,084	GMO U.S. Small Cap Value Fund, Class VI		7,515,289
	67,943	GMO U.S. Treasury Fund		339,713
		TOTAL MUTUAL FUNDS (COST $373,723,420)		369,433,810
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	453,320	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		453,320
		TOTAL SHORT-TERM INVESTMENTS (COST $453,320)		453,320
		TOTAL INVESTMENTS — 99.9% (Cost $374,176,740)		369,887,130
		Other Assets and Liabilities (net) — 0.1%		413,825
		TOTAL NET ASSETS — 100.0%		$370,300,955

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	33,288	GMO Climate Change Fund, Class III		789,592
	93,108	GMO Emerging Markets ex-China Fund, Class VI		1,434,799
	801,356	GMO International Equity Fund, Class IV		20,378,483
	527,913	GMO International Opportunistic Value Fund, Class IV		8,214,323
	213,413	GMO-Usonian Japan Value Creation Fund, Class VI		4,306,669
	156,201	GMO Quality Cyclicals Fund, Class VI		3,745,706
	353,407	GMO Quality Fund, Class VI		11,210,069
	86,253	GMO Resources Fund, Class VI		1,977,782
	147,220	GMO Small Cap Quality Fund, Class VI		3,636,329
	366,693	GMO U.S. Equity Fund, Class VI		5,280,379
	489,838	GMO U.S. Opportunistic Value Fund, Class VI		11,329,966
	113,215	GMO U.S. Small Cap Value Fund, Class VI		2,256,371
		TOTAL MUTUAL FUNDS (COST $65,060,722)		74,560,468
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	77,149	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		77,149
		TOTAL SHORT-TERM INVESTMENTS (COST $77,149)		77,149
		TOTAL INVESTMENTS — 100.1% (Cost $65,137,871)		74,637,617
		Other Assets and Liabilities (net) — (0.1%)		(39,822	)
		TOTAL NET ASSETS — 100.0%		$74,597,795

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	275,162	GMO Climate Change Fund, Class III		6,526,844
	2,087,138	GMO Emerging Markets ex-China Fund, Class VI		32,162,802
	2,613,369	GMO Emerging Markets Fund, Class VI		64,132,079
	5,488,352	GMO International Equity Fund, Class IV		139,568,780
	4,693,407	GMO International Opportunistic Value Fund, Class IV		73,029,414
	1,973,847	GMO-Usonian Japan Value Creation Fund, Class VI		39,832,231
	1,372,976	GMO Quality Cyclicals Fund, Class VI		32,923,971
	2,475,207	GMO Quality Fund, Class VI		78,513,577
	857,889	GMO Resources Fund, Class VI		19,671,397
	1,347,236	GMO Small Cap Quality Fund, Class VI		33,276,720
	2,293,694	GMO U.S. Equity Fund, Class VI		33,029,191
	3,758,453	GMO U.S. Opportunistic Value Fund, Class VI		86,933,013
	1,007,560	GMO U.S. Small Cap Value Fund, Class VI		20,080,672
		TOTAL MUTUAL FUNDS (COST $627,896,894)		659,680,691
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	815,565	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		815,565
		TOTAL SHORT-TERM INVESTMENTS (COST $815,565)		815,565
		TOTAL INVESTMENTS — 100.1% (Cost $628,712,459)		660,496,256
		Other Assets and Liabilities (net) — (0.1%)		(493,003	)
		TOTAL NET ASSETS — 100.0%		$660,003,253

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.5%
		Argentina — 0.1%
	39,648	Adecoagro SA		390,136
	45,900	YPF SA Sponsored ADR * (a)		1,065,339
		Total Argentina		1,455,475
		Australia — 1.8%
	189,557	Accent Group Ltd.		238,156
	109,906	Altium Ltd. (b)		4,924,883
	1,208,760	Alumina Ltd. *		1,524,051
	230,653	Beach Energy Ltd.		258,613
	390,066	BHP Group Ltd. (b)		11,609,275
	474,276	BlueScope Steel Ltd.		6,692,931
	382,444	Brambles Ltd. (b)		3,635,337
	159,990	CSR Ltd.		949,599
	154,205	Fortescue Ltd.		2,548,262
	616,065	GPT Group – (REIT)		1,728,252
	43,840	GrainCorp Ltd. – Class A		243,657
	391,714	Grange Resources Ltd.		102,086
	218,966	Helia Group Ltd.		602,310
	49,194	HomeCo Daily Needs – (REIT)		39,825
	14,161	JB Hi-Fi Ltd.		550,668
	8,811	McMillan Shakespeare Ltd.		97,197
	1,219,527	Mirvac Group – (REIT) (b)		1,601,707
	20,860	Rio Tinto Ltd. (b)		1,794,262
	80,239	Santos Ltd.		407,703
	614,795	Scentre Group – (REIT) (b)		1,297,284
	79,010	Southern Cross Media Group Ltd.		37,339
	474,167	Stockland – (REIT) (b)		1,428,808
	154,510	Sunrise Energy Metals Ltd. * (a)		52,049
	100,347	Super Retail Group Ltd.		880,126
	13,383	Westpac Banking Corp.		232,402
		Total Australia		43,476,782
		Austria — 0.5%
	68,985	Erste Group Bank AG		3,389,935
	121,957	OMV AG		6,163,517
	63,574	Raiffeisen Bank International AG (a)		1,175,798
	1,869	Strabag SE		82,460
	13,774	Wienerberger AG		517,037
		Total Austria		11,328,747
		Belgium — 1.0%
	190,085	Ageas SA		9,482,904
	10,574	Bekaert SA		498,332
	11,958	Econocom Group SA		31,370
	43,710	Groupe Bruxelles Lambert NV		3,351,981
	15,565	KBC Group NV		1,136,722
	1,487	Melexis NV (a)		135,014
	1,215	Orange Belgium SA *		19,617
	236,186	Proximus SADP		1,862,029
	24,966	Syensqo SA		2,498,677

Shares		Description	Value ($)
		Belgium — continued
	36,661	UCB SA		5,142,460
		Total Belgium		24,159,106
		Brazil — 0.8%
	8,460	Alupar Investimento SA		46,852
	195,000	Ambev SA		429,298
	2,400	Auren Energia SA		5,457
	41,082	Banco Bradesco SA ADR		101,062
	160,600	Banco do Brasil SA		829,472
	78,600	Banco Santander Brasil SA		415,386
	41,200	BB Seguridade Participacoes SA		253,435
	1,700	BrasilAgro—Co. Brasileira de Propriedades Agricolas		8,220
	33,400	Cia de Saneamento de Minas Gerais Copasa MG		128,170
	9,200	Cia De Sanena Do Parana		47,849
	191,800	CPFL Energia SA		1,245,573
	16,700	Cury Construtora e Incorporadora SA		58,615
	60,400	Enauta Participacoes SA *		254,672
	81,800	Engie Brasil Energia SA		675,163
	11,000	GPS Participacoes e Empreendimentos SA		38,839
	4,500	Grendene SA		5,296
	21,300	Itau Unibanco Holding SA		109,321
	165,200	Magazine Luiza SA *		389,805
	8,000	Odontoprev SA		17,003
	337,176	Petroleo Brasileiro SA Sponsored ADR		5,243,087
	21,100	Petroleo Brasileiro SA		163,547
	20,600	PRIO SA		163,242
	117,326	Sao Martinho SA		606,416
	53,100	Ser Educacional SA *		49,956
	60,820	SLC Agricola SA		206,405
	35,100	Suzano SA		325,538
	1,319	Telefonica Brasil SA ADR		11,040
	253,900	TIM SA		766,888
	19,947	TIM SA ADR		303,793
	38,100	Transmissora Alianca de Energia Eletrica SA		248,732
	305,557	Ultrapar Participacoes SA		1,348,294
	236,902	Vale SA		2,851,360
	93,027	Vale SA Sponsored ADR		1,120,975
	327,600	Vibra Energia SA		1,343,866
		Total Brazil		19,812,627
		Canada — 3.8%
	8,800	Algoma Steel Group, Inc. (a)		67,730
	55,903	Alimentation Couche-Tard, Inc. (b)		3,262,837
	58,000	Anaergia, Inc. * (a) (c)		12,766
	28,900	ARC Resources Ltd. (a)		546,851
	185,397	B2Gold Corp. (d)		519,112
	152,100	B2Gold Corp. (d)		428,529
	49,098	Bank of Nova Scotia (d)		2,323,808
	40,200	Bank of Nova Scotia (d)		1,903,007
	14,311	Brookfield Asset Management Ltd. – Class A (a)		561,564

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	73,817	Brookfield Corp. – Class A (b)		3,210,301
	3,900	BRP, Inc.		243,680
	40,374	Canadian Imperial Bank of Commerce (d)		2,000,128
	32,400	Canadian Imperial Bank of Commerce (d)		1,606,509
	39,900	Canadian Tire Corp. Ltd. – Class A		3,982,535
	15,378	Canfor Corp. *		169,018
	51,649	Celestica, Inc. * (d)		2,887,221
	25,078	Celestica, Inc. * (d)		1,402,362
	5,300	CGI, Inc. * (b)		523,370
	47,800	China Gold International Resources Corp. Ltd. *		330,219
	8,900	CI Financial Corp.		95,533
	6,987	Cogeco, Inc. (a)		243,247
	21,780	Dundee Precious Metals, Inc.		179,775
	10,300	Empire Co. Ltd. – Class A		244,020
	14,300	Enerplus Corp.		290,732
	1,398	EQB, Inc.		89,873
	1,277	Fairfax Financial Holdings Ltd. (b)		1,437,554
	8,167	Finning International, Inc.		243,940
	78,800	First Quantum Minerals Ltd.		1,012,354
	25,300	Great-West Lifeco, Inc. (b)		758,842
	34,800	iA Financial Corp., Inc.		2,265,785
	6,479	Imperial Oil Ltd. (d)		456,769
	4,400	Imperial Oil Ltd. (a) (d)		310,884
	10,963	Interfor Corp. *		142,693
	12,665	International Petroleum Corp. *		179,189
	348,200	Ivanhoe Mines Ltd. – Class A * (a)		5,027,753
	110,972	Largo, Inc. * (a)		245,076
	96,800	Li-Cycle Holdings Corp. *		49,823
	3,500	Linamar Corp.		182,351
	28,061	Logan Energy Corp. *		17,706
	39,800	Magna International, Inc.		1,800,556
	383,939	Manulife Financial Corp. (b) (d)		9,972,076
	127,907	Manulife Financial Corp. (b) (d)		3,320,466
	146,100	NexGen Energy Ltd. * (a)		1,138,400
	49,700	Nutrien Ltd. (d)		2,912,461
	36,241	Nutrien Ltd. (d)		2,124,085
	73,479	Nuvei Corp.		2,366,024
	23,300	Onex Corp.		1,651,745
	4,166	Open Text Corp. (b)		121,856
	114,117	Parex Resources, Inc. (a)		1,872,994
	116,256	Power Corp. of Canada		3,375,215
	105,800	Quebecor, Inc. – Class B (a)		2,231,740
	724,783	Resolute Forest Products, Inc. * (c)		1,449,566
	46,600	Russel Metals, Inc.		1,250,348
	19,200	Sleep Country Canada Holdings, Inc.		361,334
	20,918	Stella-Jones, Inc. (a)		1,248,680
	43,447	Sun Life Financial, Inc. (b) (d)		2,177,530
	21,906	Sun Life Financial, Inc.(d)		1,098,148
	20,700	Tamarack Valley Energy Ltd. (a)		58,321
	13,100	Teck Resources Ltd. – Class B (d)		681,360
	12,900	Teck Resources Ltd. – Class B (d)		671,445
	87,500	Toronto-Dominion Bank (b) (d)		4,891,962

Shares		Description	Value ($)
		Canada — continued
	15,278	Toronto-Dominion Bank (b) (d)		854,346
	4,400	Tourmaline Oil Corp.		218,265
	36,200	Veren, Inc.		315,302
	57,400	Vermilion Energy, Inc.		710,612
	2,943	Wajax Corp.		56,832
	63,700	West Fraser Timber Co. Ltd. (d)		5,095,720
	7,132	West Fraser Timber Co. Ltd. (d)		570,631
	39,700	Whitecap Resources, Inc. (a)		310,796
		Total Canada		94,364,262
		Chile — 0.0%
	237,838	Cencosud SA		446,628
	2,348,061	Colbun SA		306,933
	1,213,462	Enel Chile SA		69,542
	22,475	Enel Chile SA ADR		66,076
		Total Chile		889,179
		China — 1.9%
	165,000	361 Degrees International Ltd.		94,429
	436,500	3SBio, Inc.		340,855
	7,384,000	Agricultural Bank of China Ltd. – Class H		3,095,599
	60,466	Alibaba Group Holding Ltd. Sponsored ADR (b)		4,736,906
	863,500	BAIC Motor Corp. Ltd. – Class H		246,669
	1,377,871	Bank of Communications Co. Ltd. – Class H		1,039,963
	196,500	Beijing Enterprises Holdings Ltd.		692,663
	3,376,000	China Cinda Asset Management Co. Ltd. – Class H		324,868
	268,000	China Communications Services Corp. Ltd. – Class H		128,920
	10,942,000	China Construction Bank Corp. – Class H		7,765,801
	1,266,000	China Energy Engineering Corp. Ltd. – Class H *		144,514
	465,000	China Everbright Environment Group Ltd.		217,092
	3,659,000	China Greenfresh Group Co. Ltd. (e)		—
	135,000	China High Speed Transmission Equipment Group Co. Ltd. *		19,133
	49,000	China Hongqiao Group Ltd. (a)		81,126
	675,000	China Lesso Group Holdings Ltd. *		311,127
	126,925	China Medical System Holdings Ltd.		107,466
	341,000	China Overseas Grand Oceans Group Ltd.		92,139
	3,430,000	China Petroleum & Chemical Corp. – Class H		2,185,075
	3,934,000	China Railway Group Ltd. – Class H		2,119,718
	275,000	China Railway Signal & Communication Corp. Ltd. – Class H		116,413
	528,000	China Reinsurance Group Corp. – Class H		38,526
	512,000	China Resources Pharmaceutical Group Ltd.		379,758
	308,000	China State Construction International Holdings Ltd.		407,794
	4,237,600	China Zhongwang Holdings Ltd. (a) (e)		1
	1,652,158	CITIC Ltd.		1,675,522

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		China — continued
	1,339,500	COSCO Shipping Holdings Co. Ltd. – Class H		2,243,060
	987,000	CRRC Corp. Ltd. – Class H		592,066
	674,000	CSPC Pharmaceutical Group Ltd.		573,015
	1,196,313	Dongfeng Motor Group Co. Ltd. – Class H		388,063
	287,000	Fufeng Group Ltd. (a)		224,591
	44,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H		125,486
	162,400	Haier Smart Home Co. Ltd. – Class H		589,998
	153,000	Henan Shenhuo Coal & Power Co. Ltd. – Class A		488,406
	35,369	JD.com, Inc. ADR (a) (b)		1,047,630
	194,788	Kingboard Holdings Ltd.		473,891
	110,000	Kunlun Energy Co. Ltd.		114,724
	120,300	Legend Holdings Corp. – Class H		105,307
	1,482,000	Lenovo Group Ltd.		2,134,833
	53,000	Livzon Pharmaceutical Group, Inc. – Class H		179,960
	345,000	Lonking Holdings Ltd.		63,944
	587,000	Metallurgical Corp. of China Ltd. – Class H		127,911
	32,000	NetDragon Websoft Holdings Ltd.		48,083
	123,000	Orient Overseas International Ltd.		2,089,088
	500,000	PetroChina Co. Ltd. – Class H		512,679
	1,326,000	PICC Property & Casualty Co. Ltd. – Class H		1,728,002
	235,000	Poly Property Group Co. Ltd.		44,672
	311,700	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		462,775
	271,500	Sinopec Engineering Group Co. Ltd. – Class H		182,680
	505,200	Sinopharm Group Co. Ltd. – Class H		1,374,814
	289,000	Sinotruk Hong Kong Ltd.		672,135
	260,000	Skyworth Group Ltd.		92,977
	87,700	Tencent Holdings Ltd.		4,068,715
	82,000	Tianneng Power International Ltd. (a)		62,005
	164,000	Weichai Power Co. Ltd. – Class H		294,598
	306,600	Western Mining Co. Ltd. – Class A		788,218
		Total China		48,256,403
		Colombia — 0.0%
	2,059	Interconexion Electrica SA ESP		10,201
		Czech Republic — 0.0%
	87,257	Moneta Money Bank AS		382,162
	325	Philip Morris CR AS		214,031
		Total Czech Republic		596,193
		Denmark — 0.8%
	1,429	AP Moller - Maersk AS – Class A		2,507,574
	2,792	AP Moller - Maersk AS – Class B (b)		5,076,360
	148,554	Danske Bank AS		4,566,793
	10,930	Genmab AS *		3,085,089
	46,735	H Lundbeck AS		256,759
	3,998	Matas AS		69,205
	1,873	Pandora AS		307,660

Shares		Description	Value ($)
		Denmark — continued
	7,823	ROCKWOOL AS – B Shares		3,291,454
	2,730	Svitzer AS *		107,027
		Total Denmark		19,267,921
		Egypt — 0.0%
	57,551	Abou Kir Fertilizers & Chemical Industries		75,466
	238,395	Commercial International Bank - Egypt (CIB)		394,480
	373,532	Eastern Co. SAE		218,355
	19,193	ElSewedy Electric Co.		18,077
	157,420	Misr Fertilizers Production Co. SAE		146,057
		Total Egypt		852,435
		Finland — 0.4%
	11,004	Kemira OYJ		259,371
	111,509	Neste OYJ		2,341,049
	1,507,451	Nokia OYJ		5,896,239
	110,984	Outokumpu OYJ		461,018
	2,141	Sanoma OYJ		17,480
	70,288	Stora Enso OYJ – R Shares		1,029,673
	9,492	TietoEVRY OYJ (b)		191,794
	30,849	Valmet OYJ		830,231
		Total Finland		11,026,855
		France — 3.6%
	1,191	Amundi SA *		91,902
	15,719	APERAM SA		453,396
	154,343	ArcelorMittal SA		4,071,965
	5,173	Arkema SA		530,108
	41,003	AXA SA (b)		1,480,472
	65,162	BNP Paribas SA		4,810,038
	764	Caisse Regionale de Credit Agricole Mutuel Nord de France		12,036
	37,919	Carrefour SA (a)		618,364
	101,899	Cie de Saint-Gobain SA		8,996,792
	25,221	Cie Generale des Etablissements Michelin SCA (b)		1,022,838
	72,341	Coface SA		1,113,932
	61,222	Credit Agricole SA		996,136
	15,907	Derichebourg SA		90,680
	3,679	Eramet SA *		424,794
	8,100	Eurazeo SE		683,725
	6,321	Ipsen SA		829,222
	2,021	IPSOS SA		147,418
	2,797	LVMH Moet Hennessy Louis Vuitton SE (b)		2,236,882
	1,650	Mersen SA		69,058
	4,694	Metropole Television SA		71,485
	185,489	Orange SA (b)		2,165,893
	26,070	Publicis Groupe SA (b)		2,928,307
	14,609	Quadient SA		352,514
	79,936	Renault SA		4,695,455
	74,837	Rexel SA		2,274,286

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		France — continued
	25,144	Rubis SCA		895,717
	19,498	Safran SA (b)		4,566,533
	86,328	Sanofi SA		8,451,679
	5,321	Societe BIC SA *		398,143
	227,580	Societe Generale SA		6,816,665
	150,164	STMicroelectronics NV—NY Shares		6,302,383
	371	Synergie SE		14,707
	83,867	Television Francaise 1 SA		825,881
	200,839	TotalEnergies SE (d)		14,714,357
	1,951	TotalEnergies SE (d)		143,360
	12,291	Valeo SE		152,019
	41,547	Veolia Environnement SA (b)		1,390,862
	321,819	Vivendi SE		3,543,873
		Total France		89,383,877
		Germany — 1.2%
	19,265	1&1 AG		366,950
	1,666	Allianz SE (Registered) (b)		487,701
	272	Amadeus Fire AG		32,835
	7,471	Bayerische Motoren Werke AG (b)		762,060
	18,650	Beiersdorf AG (b)		2,923,890
	26,148	Continental AG		1,782,104
	35,825	Daimler Truck Holding AG		1,532,815
	195,841	Deutsche Bank AG (Registered) (b)		3,258,884
	33,963	Deutz AG		194,508
	5,709	DHL Group (b)		240,351
	561	Draegerwerk AG & Co. KGaA		28,536
	21,454	E.ON SE (b)		287,315
	47,117	Fresenius SE & Co. KGaA *		1,503,328
	12,088	Heidelberg Materials AG		1,267,709
	9,220	Henkel AG & Co. KGaA (b)		738,798
	502	Hornbach Holding AG & Co. KGaA		42,324
	25,590	Kloeckner & Co. SE		170,012
	93,716	Mercedes-Benz Group AG (b)		6,801,651
	76,139	ProSiebenSat.1 Media SE		632,909
	2,366	RTL Group SA		79,294
	41	SAF-Holland SE *		788
	6,338	Salzgitter AG		157,618
	12,632	Siemens AG (Registered) (b)		2,434,705
	25,746	Talanx AG		2,053,670
	1,547	Traton SE		55,182
	4,117	Volkswagen AG		590,324
	4,154	Wacker Neuson SE		75,645
	792	Wuestenrot & Wuerttembergische AG		11,817
		Total Germany		28,513,723
		Greece — 0.1%
	137,106	Eurobank Ergasias Services & Holdings SA – Class A *		299,726
	13,494	JUMBO SA		386,931
	14,181	Mytilineos SA		564,736
	2,930	OPAP SA		46,577
		Total Greece		1,297,970

Shares		Description	Value ($)
		Hong Kong — 0.8%
	205,900	ASMPT Ltd.		2,462,368
	83,000	Bank of East Asia Ltd.		109,642
	187,000	BOC Hong Kong Holdings Ltd.		587,815
	65,000	Chow Sang Holdings International Ltd.		68,041
	833,000	CITIC Telecom International Holdings Ltd.		273,574
	368,500	CK Asset Holdings Ltd.		1,459,568
	498,000	CK Hutchison Holdings Ltd.		2,431,776
	74,000	Dah Sing Banking Group Ltd.		64,144
	46,400	Dah Sing Financial Holdings Ltd.		136,552
	500,000	E-Commodities Holdings Ltd.		111,313
	284,000	First Pacific Co. Ltd.		136,501
	264,025	Galaxy Entertainment Group Ltd.		1,272,124
	254,000	Giordano International Ltd.		63,428
	145,000	Health & Happiness H&H International Holdings Ltd.		189,289
	2,665	Hong Kong Resources Holdings Co. Ltd. *		202
	617,000	IGG, Inc. *		242,087
	146,500	Johnson Electric Holdings Ltd.		224,316
	154,000	K Wah International Holdings Ltd.		36,530
	30,000	Kerry Logistics Network Ltd.		34,469
	48,500	Kerry Properties Ltd.		87,707
	65,000	Luk Fook Holdings International Ltd.		159,579
	443,000	Pacific Basin Shipping Ltd.		155,952
	28,000	PAX Global Technology Ltd.		22,353
	354,000	Shun Tak Holdings Ltd. *		34,118
	39,500	SmarTone Telecommunications Holdings Ltd.		18,456
	231,000	Sun Hung Kai Properties Ltd.		2,232,039
	234,500	Swire Pacific Ltd. – Class A		2,041,241
	43,800	Swire Properties Ltd.		80,561
	119,000	Texhong International Group Ltd. *		67,111
	4,586,000	United Energy Group Ltd. (a)		375,482
	536,000	VSTECS Holdings Ltd.		315,630
	74,200	VTech Holdings Ltd.		532,058
	4,280,500	WH Group Ltd.		2,916,971
	173,500	Yue Yuen Industrial Holdings Ltd.		320,780
		Total Hong Kong		19,263,777
		Hungary — 0.2%
	46,588	Magyar Telekom Telecommunications PLC		127,333
	112,064	MOL Hungarian Oil & Gas PLC		871,688
	88,523	OTP Bank Nyrt		4,274,798
	27,163	Richter Gedeon Nyrt		688,552
		Total Hungary		5,962,371
		India — 1.7%
	38,025	Arvind Ltd.		173,550
	4,407	Ashoka Buildcon Ltd. *		9,684
	93,836	Aurobindo Pharma Ltd.		1,338,848
	1,505	Avanti Feeds Ltd.		9,239
	44,957	Berger Paints India Ltd.		247,753
	252,385	Bharat Petroleum Corp. Ltd.		1,901,894

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		India — continued
	102,260	Brightcom Group Ltd. *		13,541
	10,685	Castrol India Ltd.		25,102
	4,820	CESC Ltd.		8,525
	38,450	Chambal Fertilisers & Chemicals Ltd.		179,044
	20,411	Chennai Petroleum Corp. Ltd.		224,244
	521	Cholamandalam Financial Holdings Ltd.		6,728
	40,598	Cipla Ltd.		706,103
	3,220	Colgate-Palmolive India Ltd.		102,107
	11,785	Coromandel International Ltd.		184,261
	13,297	Dhampur Bio Organics Ltd.		19,125
	28,658	Dr Reddy’s Laboratories Ltd. ADR		1,968,231
	10,958	Dr Reddy’s Laboratories Ltd.		759,899
	1,066	EID Parry India Ltd.		8,526
	21,888	Exide Industries Ltd.		128,357
	407,957	GAIL India Ltd.		1,001,418
	20,493	GHCL Ltd.		123,806
	7,785	Godawari Power & Ispat Ltd.		91,065
	21,286	Great Eastern Shipping Co. Ltd.		276,284
	24,493	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		186,483
	9,590	Gujarat Pipavav Port Ltd.		22,376
	113,495	Gujarat State Fertilizers & Chemicals Ltd.		287,483
	3,097	Gujarat State Petronet Ltd.		10,792
	39,705	HCL Technologies Ltd.		631,179
	27,144	Hero MotoCorp Ltd.		1,669,094
	84,304	Hindalco Industries Ltd.		695,012
	55,815	Hindustan Petroleum Corp. Ltd.		360,945
	2,061	ICICI Securities Ltd.		17,667
	1,632	IIFL Finance Ltd.		7,792
	580,808	Indiabulls Housing Finance Ltd.		1,101,024
	706,727	Indian Oil Corp. Ltd.		1,378,200
	75,607	Indraprastha Gas Ltd.		400,312
	27,167	Infosys Ltd. Sponsored ADR (b)		455,047
	755,779	ITC Ltd.		3,869,952
	47,734	JM Financial Ltd. *		45,123
	52,008	Karnataka Bank Ltd.		133,351
	2,214	Kaveri Seed Co. Ltd.		22,522
	2,441	KNR Constructions Ltd.		9,294
	2,407	KRBL Ltd.		7,707
	3,737	LT Foods Ltd.		9,248
	10,933	Mahanagar Gas Ltd.		170,207
	127	Maharashtra Scooters Ltd.		11,788
	488,111	Manappuram Finance Ltd.		994,849
	1,116	Motilal Oswal Financial Services Ltd.		29,745
	13,975	Muthoot Finance Ltd.		283,362
	2,220	Nippon Life India Asset Management Ltd.		16,107
	939,725	NMDC Ltd.		2,935,686
	2,142,633	Oil & Natural Gas Corp. Ltd.		6,838,835
	60,426	One 97 Communications Ltd. *		261,152
	106,129	Petronet LNG Ltd.		378,004
	471,993	Power Finance Corp. Ltd.		2,797,663
	619,988	Power Grid Corp. of India Ltd.		2,299,526
	31,712	PTC India Ltd.		79,963

Shares		Description	Value ($)
		India — continued
	1,619	Rashtriya Chemicals & Fertilizers Ltd.		2,996
	237,614	REC Ltd.		1,534,460
	19,267	Redington Ltd.		45,960
	658	Reliance Industries Ltd.		22,559
	14,830	RITES Ltd.		124,964
	232	Sanofi India Ltd.		24,283
	4,556	Shipping Corp. of India Ltd.		13,461
	15,131	Shriram Finance Ltd.		433,054
	47,300	Sun TV Network Ltd.		371,764
	9,278	Tata Consultancy Services Ltd.		411,866
	2,680	Triveni Engineering & Industries Ltd.		10,555
	1,295	UTI Asset Management Co. Ltd.		14,078
	32,688	Vardhman Textiles Ltd.		176,752
	6,500	West Coast Paper Mills Ltd.		46,590
	325	Zensar Technologies Ltd.		2,390
	101,697	Zydus Lifesciences Ltd.		1,218,569
		Total India		42,379,125
		Indonesia — 0.4%
	2,218,600	AKR Corporindo Tbk. PT		218,633
	1,669,300	Aneka Tambang Tbk. PT		150,679
	55,500	Astra International Tbk. PT		14,680
	5,256,400	Bank Central Asia Tbk. PT		2,990,746
	3,220,584	Bank Mandiri Persero Tbk. PT		1,167,995
	4,232,400	Bank Negara Indonesia Persero Tbk. PT		1,148,457
	1,558,900	Bank Pembangunan Daerah Jawa Timur Tbk. PT		47,966
	6,670,900	Bank Rakyat Indonesia Persero Tbk. PT		1,788,063
	31,200	Indah Kiat Pulp & Paper Tbk. PT *		17,518
	9,500	Indofood CBP Sukses Makmur Tbk. PT		5,702
	835,000	Indofood Sukses Makmur Tbk. PT		301,952
	3,820,200	Kalbe Farma Tbk. PT		349,963
	293,700	Medco Energi Internasional Tbk. PT		25,386
	2,986,600	Media Nusantara Citra Tbk. PT		56,621
	7,830,800	Panin Financial Tbk. PT *		165,909
	122,700	Perusahaan Gas Negara Tbk. PT		11,943
	1,676,700	Sarana Menara Nusantara Tbk. PT		71,195
	940,600	Semen Indonesia Persero Tbk. PT		202,012
	91,900	Unilever Indonesia Tbk. PT		17,679
		Total Indonesia		8,753,099
		Ireland — 0.2%
	36,192	AIB Group PLC		205,957
	65,796	Bank of Ireland Group PLC		756,197
	3,044	Kingspan Group PLC		293,253
	38,104	Origin Enterprises PLC		127,432
	24,839	Permanent TSB Group Holdings PLC *		41,322
	28,768	Ryanair Holdings PLC Sponsored ADR (b)		3,499,339
		Total Ireland		4,923,500
		Israel — 0.3%
	15,848	Check Point Software Technologies Ltd. * (a)		2,385,124

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Israel — continued
	53,255	Israel Discount Bank Ltd. – Class A		273,899
	669,745	Oil Refineries Ltd.		182,217
	311,617	Teva Pharmaceutical Industries Ltd. Sponsored ADR *		5,275,676
	27,854	Teva Pharmaceutical Industries Ltd. *		468,996
		Total Israel		8,585,912
		Italy — 1.8%
	62,365	Anima Holding SpA		333,295
	13,609	Arnoldo Mondadori Editore SpA		34,765
	42,361	Assicurazioni Generali SpA (b)		1,090,312
	40,817	Banca IFIS SpA		898,838
	76,572	Banco BPM SpA		552,465
	401,099	BPER Banca SpA (a)		2,158,605
	1,524	Buzzi SpA		64,433
	51,955	Credito Emiliano SpA		543,371
	360,486	Eni SpA		5,693,650
	12,017	Esprinet SpA *		64,778
	445,863	Intesa Sanpaolo SpA (a)		1,756,358
	42,936	Iveco Group NV		514,841
	270,894	Leonardo SpA* (a)		6,967,915
	32,417	MFE-MediaForEurope NV – Class A		111,319
	23,898	MFE-MediaForEurope NV – Class B		108,782
	24,676	OVS SpA (a)		73,365
	468,435	Stellantis NV		10,378,659
	11,492,706	Telecom Italia SpA * (a)		3,029,537
	34,093	Tenaris SA ADR		1,124,046
	30,774	Tenaris SA		508,459
	73,237	UniCredit SpA		2,915,756
	3,074	Unieuro SpA (a)		32,234
	523,905	Unipol Gruppo SpA		5,401,050
		Total Italy		44,356,833
		Japan — 16.9%
	21,700	ADEKA Corp.		466,492
	13,100	Aichi Corp.		96,976
	100,700	Amano Corp.		2,420,840
	4,300	AOKI Holdings, Inc.		34,746
	6,200	Arata Corp.		127,099
	2,400	Artience Co. Ltd.		51,399
	10,200	Asahi Yukizai Corp.		312,282
	18,500	Axial Retailing, Inc.		118,146
	9,100	Bando Chemical Industries Ltd.		105,802
	32,500	Belluna Co. Ltd.		148,569
	19,400	BML, Inc.		346,164
	65,200	Bridgestone Corp.		2,857,811
	217,300	Brother Industries Ltd.		4,182,266
	7,000	Bunka Shutter Co. Ltd.		80,932
	5,600	Canon Electronics, Inc.		81,919
	30,200	Canon Marketing Japan, Inc.		854,314
	51,900	Canon, Inc. (b)		1,510,400

Shares		Description	Value ($)
		Japan — continued
	4,600	Central Glass Co. Ltd.		105,072
	3,400	Chiyoda Integre Co. Ltd.		63,098
	287,100	Chubu Electric Power Co., Inc. (b)		3,966,508
	3,900	Cosmo Energy Holdings Co. Ltd.		194,735
	379,700	Credit Saison Co. Ltd.		8,231,591
	22,900	Dai Nippon Printing Co. Ltd. (b)		713,257
	12,900	Dai Nippon Toryo Co. Ltd.		102,386
	147,700	Daicel Corp.		1,496,356
	8,000	Dai-Dan Co. Ltd.		166,676
	50,900	Daido Steel Co. Ltd.		514,307
	2,300	Daihen Corp.		122,383
	10,600	Daiichi Jitsugyo Co. Ltd.		159,763
	32,900	Daiki Aluminium Industry Co. Ltd.		277,634
	72,800	Daiwa House Industry Co. Ltd.		1,936,964
	292,800	Daiwabo Holdings Co. Ltd.		5,180,050
	277,600	Denka Co. Ltd.		3,922,030
	21,800	EDION Corp.		218,260
	1,500	Elecom Co. Ltd.		14,800
	1,105,300	ENEOS Holdings, Inc.		5,714,666
	229,600	EXEO Group, Inc.		2,355,733
	700	FCC Co. Ltd.		10,005
	41,400	Ferrotec Holdings Corp.		707,759
	1,800	FJ Next Holdings Co. Ltd.		14,148
	300,000	Fuji Corp.		4,855,439
	2,400	Fuji Electric Co. Ltd.		143,176
	191,500	FUJIFILM Holdings Corp. (b)		4,373,047
	193,800	Fujikura Ltd.		3,999,149
	300	Fukuda Denshi Co. Ltd.		11,807
	2,500	Fukushima Galilei Co. Ltd.		96,595
	2,000	FULLCAST Holdings Co. Ltd.		18,450
	2,500	G-7 Holdings, Inc.		25,229
	10,600	GLOBERIDE, Inc.		140,541
	13,100	Glory Ltd.		228,782
	80,100	GungHo Online Entertainment, Inc.		1,347,926
	336,800	H.U. Group Holdings, Inc.		5,381,753
	2,100	Hamakyorex Co. Ltd.		54,127
	7,300	Hanwa Co. Ltd.		309,924
	130,800	Haseko Corp.		1,478,548
	48,500	Hitachi Construction Machinery Co. Ltd.		1,321,554
	1,300	Hitachi Ltd. (b)		133,884
	134,100	Hogy Medical Co. Ltd.		3,370,098
	460,200	Honda Motor Co. Ltd. (b)		5,211,171
	149,570	Honda Motor Co. Ltd. Sponsored ADR		5,073,414
	24,500	Horiba Ltd.		1,936,887
	34,400	Hosiden Corp.		439,110
	155,800	Idemitsu Kosan Co. Ltd.		1,066,853
	600	Inaba Denki Sangyo Co. Ltd.		14,813
	50,500	Inabata & Co. Ltd.		1,076,566
	813,100	Inpex Corp.		12,545,936
	649,400	Isuzu Motors Ltd.		8,703,215
	230,800	ITOCHU Corp. (a)		10,895,283
	44,300	Itochu Enex Co. Ltd.		434,848
	1,300	Itochu-Shokuhin Co. Ltd.		59,188

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	16,300	Itoham Yonekyu Holdings, Inc.		430,090
	8,200	Itoki Corp.		80,392
	3,500	Izumi Co. Ltd.		75,131
	63,800	JAFCO Group Co. Ltd.		726,653
	2,200	Japan Lifeline Co. Ltd.		15,980
	22,800	Japan Petroleum Exploration Co. Ltd.		959,946
	95,800	Japan Post Insurance Co. Ltd.		1,846,198
	206,900	Japan Tobacco, Inc. (b)		5,870,314
	90,900	JFE Holdings, Inc.		1,376,180
	2,600	Justsystems Corp. (b)		46,092
	36,000	Kaga Electronics Co. Ltd.		1,315,309
	82,500	Kajima Corp.		1,401,751
	8,800	Kamei Corp.		115,394
	87,900	Kandenko Co. Ltd.		1,046,194
	4,100	Kaneka Corp.		110,328
	484,900	Kanematsu Corp.		8,319,330
	47,300	Kansai Electric Power Co., Inc. (b)		855,997
	49,100	Kawasaki Kisen Kaisha Ltd. (b)		729,740
	46,900	KDDI Corp. (b)		1,292,319
	347,900	Kirin Holdings Co. Ltd.		4,804,478
	15,400	Kitz Corp.		110,643
	74,500	Kobe Steel Ltd.		970,702
	11,700	Kohnan Shoji Co. Ltd.		312,710
	1,900	Kokuyo Co. Ltd.		32,697
	84,900	Komatsu Ltd.		2,495,297
	23,745	Komeri Co. Ltd.		564,689
	1,200	Krosaki Harima Corp.		23,732
	76,800	K’s Holdings Corp.		712,269
	91,700	Kumiai Chemical Industry Co. Ltd.		449,401
	11,400	Kureha Corp.		209,077
	40,800	Kyudenko Corp.		1,661,407
	781,100	Macromill, Inc.		4,406,644
	40,000	Marubeni Corp.		783,421
	1,000	Maruha Nichiro Corp.		20,839
	163,400	Maruichi Steel Tube Ltd.		3,898,864
	9,000	Maruzen Showa Unyu Co. Ltd.		297,317
	12,200	Matsuda Sangyo Co. Ltd.		220,172
	277,600	Maxell Ltd.		2,954,709
	219,200	Mazda Motor Corp.		2,310,973
	28,500	MCJ Co. Ltd.		249,540
	12,100	Medipal Holdings Corp.		178,212
	4,200	Melco Holdings, Inc.		93,645
	34,000	Mirait One Corp.		413,147
	58,400	Mirarth Holdings, Inc.		178,565
	57,000	Mitsubishi Chemical Group Corp.		301,882
	91,100	Mitsubishi Corp. (b)		1,922,792
	436,900	Mitsubishi Electric Corp.		7,592,160
	100,300	Mitsubishi Gas Chemical Co., Inc.		1,882,489
	5,800	Mitsubishi Research Institute, Inc.		173,289
	700	Mitsubishi Shokuhin Co. Ltd.		23,245
	553,100	Mitsubishi UFJ Financial Group, Inc.		5,874,845
	97,300	Mitsui & Co. Ltd. (b)		4,953,951
	37,000	Mitsui Chemicals, Inc.		1,120,995

Shares		Description	Value ($)
		Japan — continued
	213,100	Mitsui OSK Lines Ltd. (b)		7,024,283
	4,000	Mitsui-Soko Holdings Co. Ltd.		109,837
	5,200	MIXI, Inc.		94,784
	72,900	Mizuno Corp.		3,794,326
	5,300	Modec, Inc. (a)		90,983
	165,100	Morinaga & Co. Ltd.		2,640,632
	83,000	Morinaga Milk Industry Co. Ltd.		1,714,726
	121,100	MS&AD Insurance Group Holdings, Inc.		2,518,869
	2,300	Nafco Co. Ltd.		42,463
	8,400	Nagase & Co. Ltd.		164,636
	75,500	NEC Corp. (b)		5,620,052
	6,600	NGK Insulators Ltd.		88,215
	153,300	NH Foods Ltd.		4,705,620
	47,700	Nichias Corp.		1,446,439
	15,800	Nichiha Corp.		356,639
	8,400	Nichireki Co. Ltd.		129,375
	5,200	Nippn Corp.		73,736
	18,800	Nippon Shinyaku Co. Ltd.		368,118
	4,300	Nippon Soda Co. Ltd.		138,885
	164,700	Nippon Television Holdings, Inc.		2,221,170
	267,900	Nippon Yusen KK (b)		8,493,803
	37,400	Nissan Motor Co. Ltd.		133,765
	3,400	Nisshin Oillio Group Ltd.		105,708
	3,800	Nissin Corp.		108,842
	51,400	Niterra Co. Ltd.		1,549,115
	2,000	Nitta Corp.		52,254
	12,200	Nittetsu Mining Co. Ltd.		411,946
	1,300	Nitto Denko Corp.		99,528
	84,600	Nojima Corp.		951,902
	61,200	Nomura Real Estate Holdings, Inc.		1,577,874
	8,800	Noritake Co. Ltd.		224,859
	3,500	NS United Kaiun Kaisha Ltd.		110,171
	2,200	Obara Group, Inc.		59,386
	143,200	Oji Holdings Corp.		578,726
	49,200	Okamura Corp.		713,050
	9,300	OKUMA Corp.		398,208
	233,200	Ono Pharmaceutical Co. Ltd. (a)		3,376,939
	2,600	Organo Corp.		146,453
	139,500	ORIX Corp.		3,042,220
	2,300	Osaka Gas Co. Ltd. (b)		52,367
	50,200	Otsuka Holdings Co. Ltd.		2,072,529
	339,400	Pacific Industrial Co. Ltd.		3,358,651
	500	PAL GROUP Holdings Co. Ltd.		5,803
	2,300	PALTAC Corp.		60,365
	702,500	Panasonic Holdings Corp.		6,205,069
	625,800	Penta-Ocean Construction Co. Ltd.		2,520,436
	9,400	Pilot Corp.		262,132
	8,000	Proto Corp.		69,243
	4,500	Raito Kogyo Co. Ltd.		57,616
	96,500	Renesas Electronics Corp.		1,778,168
	6,300	Rengo Co. Ltd.		42,491
	20,000	Ricoh Co. Ltd.		179,601
	300,000	Rohm Co. Ltd.		3,888,445

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	9,800	S Foods, Inc.		177,414
	6,100	Sakai Moving Service Co. Ltd.		92,116
	4,000	Sakata INX Corp.		48,614
	15,200	San-A Co. Ltd.		466,298
	31,800	San-Ai Obbli Co. Ltd.		420,737
	5,700	Sankyo Co. Ltd.		55,577
	117,700	Sankyu, Inc.		4,251,324
	172,800	Sanwa Holdings Corp.		3,216,907
	3,300	Sanyo Denki Co. Ltd.		152,350
	3,100	SB Technology Corp.		58,449
	1,700	SCREEN Holdings Co. Ltd.		162,614
	365,200	Sega Sammy Holdings, Inc.		5,158,408
	53,500	Seiko Epson Corp.		864,446
	96,200	Sekisui Chemical Co. Ltd.		1,380,728
	283,900	Sekisui House Ltd.		6,392,738
	5,000	Sekisui Jushi Corp.		76,821
	30,400	Shimamura Co. Ltd.		1,456,217
	7,600	Shinagawa Refractories Co. Ltd.		98,044
	6,700	Shin-Etsu Polymer Co. Ltd.		64,852
	142,374	Shinko Electric Industries Co. Ltd.		5,102,672
	4,100	Shinnihon Corp.		39,654
	81,000	Shionogi & Co. Ltd.		3,649,300
	2,000	Sinanen Holdings Co. Ltd.		59,239
	9,300	Sinko Industries Ltd.		228,462
	2,100	Sohgo Security Services Co. Ltd.		12,681
	133,920	Sojitz Corp.		3,503,590
	280,200	Stanley Electric Co. Ltd.		5,154,840
	32,000	Star Micronics Co. Ltd.		433,303
	17,000	Starts Corp., Inc.		354,685
	205,500	Subaru Corp.		4,593,888
	358,300	SUMCO Corp. (a)		5,386,440
	164,000	Sumitomo Corp.		4,267,688
	7,800	Sumitomo Densetsu Co. Ltd.		181,445
	218,400	Sumitomo Forestry Co. Ltd.		7,561,904
	67,600	Sumitomo Heavy Industries Ltd.		1,839,283
	97,600	Sumitomo Mitsui Financial Group, Inc.		6,387,831
	208,500	Sumitomo Mitsui Trust Holdings, Inc.		4,847,531
	466,600	Sumitomo Pharma Co. Ltd. *		905,965
	19,200	Sun Frontier Fudousan Co. Ltd.		238,433
	323,700	T&D Holdings, Inc.		5,851,962
	12,600	Takeda Pharmaceutical Co. Ltd.		335,475
	6,700	Tamron Co. Ltd.		377,768
	43,400	TDK Corp.		2,179,786
	148,700	THK Co. Ltd.		2,883,617
	578,500	Tokai Carbon Co. Ltd. (a)		3,678,651
	4,000	Tokai Rika Co. Ltd.		56,734
	1,100	Token Corp.		76,250
	679,300	Tokyo Electric Power Co. Holdings, Inc. * (b)		4,078,152
	245,900	Tokyo Gas Co. Ltd. (b)		5,523,258
	54,800	Tokyo Steel Manufacturing Co. Ltd.		547,088
	253,600	Tosei Corp.		3,647,228
	160,800	Tosoh Corp.		2,040,495

Shares		Description	Value ($)
		Japan — continued
	4,600	Towa Pharmaceutical Co. Ltd.		84,642
	17,600	Toyo Tire Corp.		315,408
	10,200	Toyoda Gosei Co. Ltd.		198,460
	23,900	Toyota Boshoku Corp.		349,882
	28,700	Toyota Industries Corp.		2,706,718
	73,600	Toyota Tsusho Corp.		4,494,675
	2,800	Transcosmos, Inc.		60,409
	300	Tsubakimoto Chain Co.		11,311
	21,000	Tsugami Corp.		194,445
	38,000	TV Asahi Holdings Corp.		486,564
	5,500	Unipres Corp.		52,410
	4,100	Wacoal Holdings Corp.		101,359
	3,000	Warabeya Nichiyo Holdings Co. Ltd.		45,135
	36,500	YAMABIKO Corp.		499,400
	123,200	Yamaha Corp.		2,803,371
	1,101,200	Yamaha Motor Co. Ltd. (a)		10,782,649
	1,900	Yamato Kogyo Co. Ltd.		99,318
	61,500	Yamazen Corp.		550,355
	38,300	Yellow Hat Ltd.		508,221
	178,700	Yokogawa Bridge Holdings Corp.		3,144,726
	22,000	Yokohama Rubber Co. Ltd.		552,548
	14,300	Yuasa Trading Co. Ltd.		510,256
	79,300	Zenkoku Hosho Co. Ltd.		2,841,515
		Total Japan		421,588,969
		Kuwait — 0.0%
	6,164	Humansoft Holding Co. KSC		51,979
		Malaysia — 0.1%
	84,900	AMMB Holdings Bhd.		76,704
	983,300	CIMB Group Holdings Bhd.		1,431,678
	122,200	IOI Corp. Bhd.		99,306
	172,500	KPJ Healthcare Bhd.		69,737
	340,100	Malayan Banking Bhd.		717,669
	132,100	MISC Bhd.		234,196
	126,600	Petronas Chemicals Group Bhd.		180,660
	51,800	PPB Group Bhd.		162,574
	156,600	Sime Darby Bhd.		92,582
		Total Malaysia		3,065,106
		Mexico — 0.8%
	134,536	Arca Continental SAB de CV		1,379,179
	100,268	Banco del Bajio SA		347,199
	6,738	Bolsa Mexicana de Valores SAB de CV		12,248
	21,564	Cemex SAB de CV Sponsored ADR*		162,377
	8,291	Coca-Cola Femsa SAB de CV Sponsored ADR (a)		776,535
	1,136,700	Credito Real SAB de CV SOFOM ER * (e)		—
	52,174	El Puerto de Liverpool SAB de CV – Class C1		396,690
	326,938	Fomento Economico Mexicano SAB de CV		3,745,436
	3,375	Fomento Economico Mexicano SAB de CV Sponsored ADR		386,842

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	5,287	Gentera SAB de CV		8,167
	25,903	Grupo Aeroportuario del Centro Norte SAB de CV		265,679
	9,043	Grupo Aeroportuario del Sureste SAB de CV – Class B		305,255
	436,970	Grupo Financiero Banorte SAB de CV – Class O		4,150,912
	945,516	Grupo Mexico SAB de CV – Series B		5,833,650
	22,425	Kimberly-Clark de Mexico SAB de CV – Class A		47,159
	22,123	Regional SAB de CV		191,651
	19,685	Unifin Financiera SAB de CV * (e)		—
	21,900	Vista Energy SAB de CV ADR *		1,061,055
	225,627	Wal-Mart de Mexico SAB de CV		847,772
		Total Mexico		19,917,806
		Netherlands — 2.2%
	12,188	Aalberts NV		583,171
	75,354	Aegon Ltd.		488,766
	1,617	Arcadis NV		106,108
	23,691	ASR Nederland NV		1,146,606
	9,661	Brunel International NV (a)		116,009
	94,477	EXOR NV		10,609,825
	16,510	HEMA Bondco I B.V. (c)		179
	3,916	IMCD NV (a)		597,602
	498,346	ING Groep NV		8,903,128
	303,360	Koninklijke Ahold Delhaize NV (b)		9,408,109
	306,934	Koninklijke Philips NV * (b)		8,383,857
	129,077	NN Group NV		6,022,615
	74,478	Randstad NV (b)		3,936,297
	25,313	Royal BAM Group NV		106,403
	86,369	Signify NV (a)		2,360,026
	11,048	Wolters Kluwer NV (b)		1,762,038
		Total Netherlands		54,530,739
		New Zealand — 0.0%
	199,171	Meridian Energy Ltd. (b)		828,665
		Norway — 0.9%
	24,603	Aker BP ASA		635,184
	52,559	Austevoll Seafood ASA		428,899
	82,203	BW LPG Ltd.		1,706,389
	150,701	DNO ASA		168,683
	281,952	Elkem ASA *		589,247
	438,502	Equinor ASA		12,728,717
	58,949	Europris ASA		394,640
	172,534	Hafnia Ltd.		1,516,199
	101,148	Hoegh Autoliners ASA		1,207,499
	56,862	Odfjell Drilling Ltd.		313,142
	13,427	Orkla ASA		107,503
	15,675	Stolt-Nielsen Ltd.		723,994
	106,321	Wallenius Wilhelmsen ASA		1,135,800
		Total Norway		21,655,896

Shares		Description	Value ($)
		Pakistan — 0.0%
	91,879	Attock Refinery Ltd.		125,576
	166,074	Engro Fertilizers Ltd.		95,479
	91,491	Fauji Fertilizer Bin Qasim Ltd.		10,958
	96,098	Fauji Fertilizer Co. Ltd.		48,976
	54,094	Habib Bank Ltd.		22,129
	63,052	Hub Power Co. Ltd.		32,528
	5,479	Lucky Cement Ltd.		17,680
	2,399	Mari Petroleum Co. Ltd.		24,018
	18,573	Nishat Mills Ltd.		4,866
	717,559	Oil & Gas Development Co. Ltd.		344,417
	14,564	Pakistan Oilfields Ltd.		25,662
	682,474	Pakistan Petroleum Ltd.		293,894
	155,152	SUI Northern Gas Pipeline		36,895
	40,522	United Bank Ltd.		32,564
		Total Pakistan		1,115,642
		Philippines — 0.0%
	43,200	Aboitiz Equity Ventures, Inc.		25,874
	11,420	Manila Electric Co.		71,629
	1,759,024	Megaworld Corp.		54,134
		Total Philippines		151,637
		Poland — 0.5%
	8,055	Asseco Poland SA		169,289
	45,919	Bank Polska Kasa Opieki SA		1,870,288
	2,053	Budimex SA		390,035
	30,663	Cyfrowy Polsat SA *		97,553
	39	Grupa Kety SA		8,568
	79,837	Orange Polska SA		166,543
	396,815	ORLEN SA		6,427,805
	45,064	Pepco Group NV *		278,086
	336,858	PGE Polska Grupa Energetyczna SA *		581,895
	19,781	Powszechna Kasa Oszczednosci Bank Polski SA		299,729
	112,304	Powszechny Zaklad Ubezpieczen SA		1,429,295
	4,259	Santander Bank Polska SA		549,153
	3,764	XTB SA		63,727
		Total Poland		12,331,966
		Portugal — 0.2%
	200,588	Galp Energia SGPS SA		4,218,187
	82,864	Navigator Co. SA *		362,375
	17,079	REN - Redes Energeticas Nacionais SGPS SA (a)		42,693
	440,451	Sonae SGPS SA		454,662
		Total Portugal		5,077,917
		Qatar — 0.0%
	170,738	Industries Qatar QSC		542,420
	124,580	Ooredoo QPSC		321,840
	4,764	Qatar Islamic Bank SAQ		22,594

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Qatar — continued
	25,977	Qatar National Bank QPSC		96,561
		Total Qatar		983,415
		Russia — 0.0%
	10,221,010	Alrosa PJSC (e) (f)		84,492
	376,870,000	Federal Grid Co.-Rosseti PJSC * (e)		4,239
	214,678	Fix Price Group PLC GDR (e)		5,110
	415,363	Gazprom Neft PJSC (e)		30,909
	4,924,596	Gazprom PJSC * (e)		68,157
	1,279,700	GMK Norilskiy Nickel PAO (e)		19,943
	18,204,300	Inter RAO UES PJSC * (e)		8,209
	88,304	LSR Group PJSC (e)		7,611
	4	LSR Group PJSC GDR (e)		—
	192,855	LUKOIL PJSC (e)		156,737
	5,760,219	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		35,055
	71,800	Mechel PJSC * (e) (f)		1,711
	8	MMC Norilsk Nickel PJSC ADR * (e)		—
	23,942	Mobile TeleSystems PJSC (e)		749
	1,472,470	Moscow Exchange MICEX-Rates PJSC (e)		38,971
	7,545,000	Mosenergo PJSC (e)		2,526
	191,960	Novatek PJSC (e)		22,974
	3,493,400	Novolipetsk Steel PJSC (e)		74,631
	6,115	PhosAgro PJSC (e)		4,016
	118	PhosAgro PJSC GDR (e) (f)		26
	25,552	Polyus PJSC * (e) (f)		34,507
	1	Polyus PJSC GDR (Registered) (e) (f)		1
	49,974,140	RusHydro PJSC (e)		3,489
	8,073,970	Sberbank of Russia PJSC * (e) (f)		279,020
	7,395	Severstal PAO * (e) (f)		1,454
	261,549	Severstal PAO GDR (Registered) * (e) (f)		51,445
	29,090	SFI PJSC (e)		4,150
	27,770,670	Surgutneftegas PJSC (e)		87,742
	986,916	Tatneft PJSC (e)		75,199
	725,480	Unipro PJSC * (e)		153
	55,470	United Co. Rusal International PJSC * (e)		262
	752,312,000	VTB Bank PJSC * (e) (f)		1,647
		Total Russia		1,105,135
		Saudi Arabia — 0.0%
	6,155	Almarai Co. JSC		85,846
	11,367	Saudi Arabian Oil Co.		87,876
	39,870	Saudi National Bank		362,075
		Total Saudi Arabia		535,797
		Singapore — 0.6%
	72,800	Asian Pay Television Trust		4,362
	92,400	Bumitama Agri Ltd.		47,893
	885,400	ComfortDelGro Corp. Ltd.		912,801
	33,106	DBS Group Holdings Ltd.		882,798
	122,400	First Real Estate Investment Trust – (REIT)		21,713
	314,900	First Resources Ltd.		328,755

Shares		Description	Value ($)
		Singapore — continued
	1,798,600	Golden Agri-Resources Ltd.		352,933
	116,300	Japfa Ltd. *		27,124
	159,900	Keppel Ltd.		797,235
	371,000	Oversea-Chinese Banking Corp. Ltd.		3,992,735
	55,900	Sheng Siong Group Ltd.		61,696
	37,800	Silverlake Axis Ltd.		8,265
	230,000	StarHub Ltd.		217,860
	77,000	United Overseas Bank Ltd.		1,755,758
	40,600	UOL Group Ltd.		162,522
	13,000	Venture Corp. Ltd.		135,270
	315,300	Yangzijiang Financial Holding Ltd.		75,946
	2,726,477	Yangzijiang Shipbuilding Holdings Ltd.		4,613,194
	401,900	Yanlord Land Group Ltd. *		137,023
		Total Singapore		14,535,883
		South Africa — 0.6%
	35,612	Absa Group Ltd.		283,835
	1,755	AECI Ltd.		8,998
	39,227	African Rainbow Minerals Ltd.		474,923
	60,916	Anglo American Platinum Ltd.		1,998,318
	53,851	AVI Ltd.		244,039
	22,785	Barloworld Ltd.		109,066
	126,999	Bidvest Group Ltd.		1,660,420
	53,682	Clicks Group Ltd.		842,581
	14,418	Coronation Fund Managers Ltd.		26,731
	814,002	FirstRand Ltd.		2,824,043
	50,968	Foschini Group Ltd.		257,894
	334,610	Impala Platinum Holdings Ltd.		1,723,693
	26,359	Investec Ltd.		172,337
	18,389	Kumba Iron Ore Ltd.		482,080
	15,683	Motus Holdings Ltd.		72,033
	96,340	Mr Price Group Ltd.		912,420
	34,400	Nedbank Group Ltd.		417,592
	80,932	Ninety One Ltd.		170,740
	13,945	Omnia Holdings Ltd.		41,715
	87,512	Sanlam Ltd.		330,201
	2,007	Santam Ltd.		31,996
	174,610	Sappi Ltd.		501,989
	35,265	Shoprite Holdings Ltd.		468,872
	561,130	Sibanye Stillwater Ltd.		708,229
	24,128	Tiger Brands Ltd.		249,876
	175,351	Truworths International Ltd.		712,683
	50,593	Woolworths Holdings Ltd.		146,214
		Total South Africa		15,873,518
		South Korea — 1.8%
	46,363	BNK Financial Group, Inc.		283,972
	9,430	Cheil Worldwide, Inc.		127,505
	12,855	Coway Co. Ltd.		526,440
	24,011	Daewon Cable Co. Ltd. *		62,283
	8,489	Daou Data Corp.		70,935
	1,741	DB Insurance Co. Ltd.		130,483

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	105,163	Dongwon Development Co. Ltd.		210,077
	40	F&F Co. Ltd.		1,941
	4,902	Global Standard Technology Co. Ltd.		159,372
	40,998	GS Holdings Corp.		1,294,368
	31,388	Hana Financial Group, Inc.		1,401,650
	5,890	Handsome Co. Ltd.		76,366
	18,730	Hankook Tire & Technology Co. Ltd.		593,494
	55,909	Hanon Systems		202,307
	8,417	HDC Hyundai Development Co-Engineering & Construction		106,818
	7,809	Hyundai Engineering & Construction Co. Ltd.		187,382
	7,530	Hyundai Glovis Co. Ltd.		980,067
	1,750	Hyundai Home Shopping Network Corp.		66,318
	22,228	Hyundai Mobis Co. Ltd.		3,465,676
	15,428	Hyundai Motor Co.		2,831,097
	832	INTOPS Co. Ltd.		14,170
	36,262	JB Financial Group Co. Ltd.		382,643
	7,372	Kakaopay Corp. *		165,059
	15,892	Kangwon Land, Inc.		171,138
	15,874	KB Financial Group, Inc.		912,601
	9,716	KB Financial Group, Inc. ADR		559,059
	537	KCC Glass Corp.		15,685
	103,417	Kia Corp.		8,827,286
	23,989	KT Corp. Sponsored ADR		324,331
	57,982	KT&G Corp.		3,499,893
	26,719	LG Corp.		1,572,136
	80,784	LG Electronics, Inc.		6,144,739
	20,864	LG Uplus Corp.		145,706
	10,767	LOTTE Fine Chemical Co. Ltd.		374,484
	23,587	Mirae Asset Securities Co. Ltd.		123,296
	2,751	NAVER Corp.		340,571
	1,114	NH Investment & Securities Co. Ltd.		9,894
	2,722	Orion Corp.		180,092
	52,726	POSCO Holdings, Inc. Sponsored ADR		3,554,260
	618	S-1 Corp.		28,376
	8,214	Samsung E&A Co. Ltd. *		139,120
	12,323	Samsung Electronics Co. Ltd.		652,907
	246	Samsung Electronics Co. Ltd. GDR (b)		333,318
	11,720	Samsung Securities Co. Ltd.		306,772
	24,204	Shinhan Financial Group Co. Ltd.		830,357
	16,200	SK Networks Co. Ltd.		59,311
	10,473	SK Telecom Co. Ltd. Sponsored ADR		216,582
	250	SNT Motiv Co. Ltd.		8,282
	3,420	TKG Huchems Co. Ltd.		48,986
	121,702	Woori Financial Group, Inc.		1,248,336
	9,838	Youngone Corp.		241,626
		Total South Korea		44,209,567
		Spain — 2.1%
	184,059	Acerinox SA		2,016,163
	47,882	Amadeus IT Group SA (b)		3,417,933
	5,951	Applus Services SA		82,133

Shares		Description	Value ($)
		Spain — continued
	53,381	Atresmedia Corp. de Medios de Comunicacion SA		307,540
	1,187,496	Banco Bilbao Vizcaya Argentaria SA		12,885,940
	4,213,204	Banco de Sabadell SA		8,899,512
	1,947,928	Banco Santander SA		10,272,878
	62,863	CaixaBank SA		360,021
	1,514	Faes Farma SA		6,272
	8,882	Iberdrola SA (b)		117,231
	129,835	Industria de Diseno Textil SA (b)		6,173,856
	239,459	Mapfre SA (a)		576,613
	47,480	Prosegur Compania de Seguridad SA		91,376
	391,616	Repsol SA		6,393,010
	60,851	Solaria Energia y Medio Ambiente SA * (a)		783,579
		Total Spain		52,384,057
		Sweden — 0.8%
	18,744	AcadeMedia AB (b)		100,661
	21,713	Betsson AB * (d)		7,742
	21,713	Betsson AB (b) (d)		249,002
	66,016	Boliden AB		2,314,072
	20,151	Fabege AB (a)		172,313
	459,737	Fastighets AB Balder – B Shares *		3,112,755
	2,625	Investor AB – A Shares (b)		70,711
	227,755	Investor AB – B Shares (b)		6,180,214
	21,700	Peab AB – Class B (a)		141,811
	34,455	Securitas AB – B Shares		354,586
	71,177	Skanska AB – B Shares		1,257,195
	286,905	Telefonaktiebolaget LM Ericsson – B Shares		1,767,782
	19,160	Volvo AB – A Shares		520,703
	122,110	Volvo AB – B Shares		3,286,577
	90,707	Volvo Car AB – Class B *		305,483
		Total Sweden		19,841,607
		Switzerland — 1.4%
	173,083	Adecco Group AG (Registered)		6,568,640
	3,969	Holcim AG		348,676
	19,808	Logitech International SA (Registered) (d)		1,982,570
	1,692	Logitech International SA (Registered) (d)		169,217
	4,895	Mobilezone Holding AG (Registered)		78,036
	38,953	Novartis AG Sponsored ADR (a)		4,017,223
	35,609	Novartis AG (Registered)		3,685,458
	1,976	Roche Holding AG		553,017
	57,635	Roche Holding AG – Genusschein		14,715,182
	15,780	Sandoz Group AG ADR		560,032
	1,047	Sandoz Group AG		37,037
	891	Swatch Group AG		190,860
	2,008	Swisscom AG (Registered) (b)		1,113,957
	1,698	u-blox Holding AG		180,658
	3,730	UBS Group AG (Registered) (b)		118,912
		Total Switzerland		34,319,475

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 2.6%
	6,000	Acter Group Corp. Ltd.		43,420
	1,898	Advantech Co. Ltd.		20,780
	5,000	Arcadyan Technology Corp.		25,843
	291,768	ASE Technology Holding Co. Ltd. ADR		3,145,259
	16,000	Asia Cement Corp.		20,538
	59,799	Asustek Computer, Inc.		952,021
	3,000	Bizlink Holding, Inc.		25,762
	468,000	Catcher Technology Co. Ltd.		3,251,688
	76,490	Chicony Electronics Co. Ltd.		442,441
	5,000	Chicony Power Technology Co. Ltd. *		23,984
	159,000	Chipbond Technology Corp.		334,621
	747,000	Compal Electronics, Inc.		857,812
	71,080	Coretronic Corp.		243,312
	23,000	Dynapack International Technology Corp.		67,208
	101,000	Elitegroup Computer Systems Co. Ltd. *		107,329
	18,000	Evergreen International Storage & Transport Corp.		18,658
	848,000	Evergreen Marine Corp. Taiwan Ltd.		5,516,520
	24,000	Everlight Electronics Co. Ltd.		53,526
	132,000	Farglory Land Development Co. Ltd.		361,241
	61,709	FLEXium Interconnect, Inc.		166,702
	20,000	Formosa Advanced Technologies Co. Ltd.		23,872
	194,000	Foxconn Technology Co. Ltd.		439,739
	5,000	Fusheng Precision Co. Ltd.		44,936
	35,000	Giant Manufacturing Co. Ltd.		235,374
	22,000	Global Brands Manufacture Ltd.		50,629
	3,000	Global Mixed Mode Technology, Inc.		28,347
	3,000	Greatek Electronics, Inc.		5,859
	22,000	Hannstar Board Corp.		40,325
	1,551,406	Hon Hai Precision Industry Co. Ltd.		8,262,006
	80,000	Huaku Development Co. Ltd. *		390,561
	11,279	Innodisk Corp.		115,185
	84,000	King’s Town Bank Co. Ltd.		155,812
	76,000	Kung Long Batteries Industrial Co. Ltd.		346,518
	13,000	Largan Precision Co. Ltd.		918,148
	145,000	MediaTek, Inc.		5,552,641
	265,000	Micro-Star International Co. Ltd.		1,574,144
	70,000	Nan Ya Printed Circuit Board Corp.		422,455
	153,502	Nantex Industry Co. Ltd.		165,146
	5,000	Nien Made Enterprise Co. Ltd.		54,266
	162,000	Novatek Microelectronics Corp.		2,986,539
	18,000	Parade Technologies Ltd.		427,301
	5,000	Pixart Imaging, Inc.		25,339
	332,566	Pou Chen Corp.		385,640
	520,000	Powerchip Semiconductor Manufacturing Corp. *		399,704
	130,000	Primax Electronics Ltd.		406,607
	280,263	Radiant Opto-Electronics Corp.		1,709,470
	3,000	Raydium Semiconductor Corp.		38,390
	20,000	Realtek Semiconductor Corp.		337,677
	55,000	Ruentex Industries Ltd.		116,173
	53,280	Shin Zu Shing Co. Ltd.		326,611

Shares		Description	Value ($)
		Taiwan — continued
	66,000	Shinkong Insurance Co. Ltd.		193,797
	3,000	Sigurd Microelectronics Corp.		7,327
	42,000	Simplo Technology Co. Ltd.		535,476
	5,000	Sinon Corp.		6,382
	6,300	Sporton International, Inc.		47,566
	62,000	T3EX Global Holdings Corp.		213,424
	35,000	TaiDoc Technology Corp.		176,343
	17,000	Taiwan Fertilizer Co. Ltd.		33,528
	7,000	Taiwan Hon Chuan Enterprise Co. Ltd.		35,259
	177,000	Taiwan Semiconductor Manufacturing Co. Ltd.		4,532,604
	77,376	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		11,686,871
	66,000	Taiwan Surface Mounting Technology Corp.		232,433
	8,000	Test Research, Inc.		42,693
	4,000	Topkey Corp.		25,061
	121,000	Transcend Information, Inc.		440,325
	77,000	Tripod Technology Corp.		507,179
	12,000	Tung Ho Steel Enterprise Corp.		25,602
	17,000	TXC Corp.		59,483
	54,000	Wisdom Marine Lines Co. Ltd. *		129,555
	1,343,000	Yang Ming Marine Transport Corp.		2,968,021
	653,365	Yuanta Financial Holding Co. Ltd.		640,277
		Total Taiwan		64,203,285
		Thailand — 0.6%
	2,245,800	AP Thailand PCL NVDR		562,853
	342,000	Bangkok Bank PCL NVDR		1,270,213
	1,683,700	BTS Group Holdings PCL NVDR		219,673
	132,700	GFPT PCL NVDR		48,490
	773,400	Kasikornbank PCL NVDR		2,758,224
	9,458,300	Krung Thai Bank PCL NVDR		4,427,412
	2,258,800	Land & Houses PCL NVDR		405,221
	269,800	Muangthai Capital PCL NVDR		326,341
	293,080	Pruksa Holding PCL NVDR		79,795
	82,808	Pruksa Holding PCL (Foreign Registered)		22,546
	521,700	PTT Exploration & Production PCL NVDR		2,193,746
	1,074,900	PTT PCL NVDR		958,893
	3,263,000	Sansiri PCL NVDR		141,412
	294,300	SCB X PCL NVDR		849,793
	18,900	Siam Cement PCL NVDR		121,446
	122,000	Somboon Advance Technology PCL NVDR		49,131
	461,200	Sri Trang Agro-Industry PCL NVDR		296,473
	364,200	Supalai PCL NVDR		183,386
	196,800	Thai Oil PCL NVDR		277,852
		Total Thailand		15,192,900
		Turkey — 0.5%
	1,660,765	Akbank TAS		3,404,369
	871,325	Aselsan Elektronik Sanayi Ve Ticaret AS		1,584,966
	47,934	Dogus Otomotiv Servis ve Ticaret AS		450,544

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	231,613	KOC Holding AS		1,711,549
	94,861	Mavi Giyim Sanayi Ve Ticaret AS – Class B		281,155
	46,899	Turk Hava Yollari AO *		441,039
	124,072	Vestel Beyaz Esya Sanayi ve Ticaret AS		91,821
	3,615,720	Yapi ve Kredi Bankasi AS		3,628,408
		Total Turkey		11,593,851
		Ukraine — 0.0%
	36,516	Kernel Holding SA *		103,403
		United Arab Emirates — 0.1%
	264,047	Emirates NBD Bank PJSC		1,118,534
		United Kingdom — 5.1%
	383,453	3i Group PLC		14,129,070
	74,644	abrdn PLC (a)		148,529
	49,226	BAE Systems PLC		876,519
	16,420	Bank of Georgia Group PLC		780,571
	547,857	Barratt Developments PLC		3,552,553
	44,702	Bellway PLC		1,539,243
	81,632	Berkeley Group Holdings PLC		5,508,568
	541,408	BP PLC		3,386,769
	17,159	British American Tobacco PLC (b)		530,639
	6,133,954	BT Group PLC (a)		10,269,682
	117,339	Centamin PLC		179,487
	98,844	Coca-Cola HBC AG		3,354,300
	139,113	Compass Group PLC (b)		3,905,765
	4,401	CRH PLC		359,826
	1,180,664	DS Smith PLC		5,790,494
	30,601	Evraz PLC * (e)		798
	338,518	Ferrexpo PLC *		180,413
	831,700	Glencore PLC		5,126,345
	31,833	GSK PLC		714,269
	150,958	GSK PLC Sponsored ADR (a)		6,758,390
	12,278	Halfords Group PLC		24,222
	220,227	Harbour Energy PLC		937,011
	63,256	Howden Joinery Group PLC		737,743
	711,976	HSBC Holdings PLC		6,345,757
	15,460	HSBC Holdings PLC Sponsored ADR (a) (b)		690,289
	87,038	IG Group Holdings PLC		900,397
	45,296	Imperial Brands PLC		1,125,566
	27,836	International Personal Finance PLC		39,963
	30,824	Investec PLC		206,259
	969,341	ITV PLC		987,325
	340,588	J Sainsbury PLC		1,207,535
	11,440	Keller Group PLC		189,569
	1,128,159	Kingfisher PLC		3,819,281
	68,000	Lifezone Holdings Ltd. *		613,360
	4,225,017	Lloyds Banking Group PLC		3,016,073
	192,029	MONY Group PLC		555,962
	23,013	Morgan Sindall Group PLC		743,920
	446,298	NatWest Group PLC		1,805,408
	171,640	OSB Group PLC		1,020,723
	45,981	Paragon Banking Group PLC		449,110

Shares		Description	Value ($)
		United Kingdom — continued
	93,601	Persimmon PLC		1,748,677
	57,857	Plus500 Ltd.		1,648,003
	14,028	Premier Foods PLC		30,901
	48,441	Reach PLC		49,962
	161,001	Redrow PLC		1,470,195
	7,034	RELX PLC (b)		308,581
	4,977	RELX PLC Sponsored ADR (b)		218,789
	29,334	Rio Tinto PLC Sponsored ADR (b)		2,056,313
	21,253	Rio Tinto PLC (b)		1,496,156
	3,674	Sage Group PLC (b)		48,260
	185,667	Shell PLC		6,701,604
	6,552	Shell PLC ADR (b)		476,855
	44,692	Standard Chartered PLC		445,159
	1,327,114	Taylor Wimpey PLC		2,512,506
	10,766	TBC Bank Group PLC		350,528
	114,495	Tesco PLC (b)		455,449
	85,859	Unilever PLC Sponsored ADR (b)		4,700,780
	57,671	Vesuvius PLC		360,451
	1,926,216	Vodafone Group PLC (b)		1,862,264
	631,358	Vodafone Group PLC Sponsored ADR (b)		6,073,664
	129,085	Zigup PLC		721,165
		Total United Kingdom		126,243,965
		United States — 24.2%
	47,549	3M Co. (a)		4,761,557
	6,718	Academy Sports & Outdoors, Inc. (a)		387,561
	3,210	Adtalem Global Education, Inc. * (a)		206,692
	3,300	Advanced Drainage Systems, Inc.		572,517
	38,098	Aemetis, Inc. * (a)		131,438
	3,124	Affiliated Managers Group, Inc.		507,962
	11,559	Aflac, Inc. (a)		1,038,808
	13,146	AGCO Corp. (a)		1,410,960
	27,924	Akamai Technologies, Inc. * (a)		2,575,710
	544,561	Albertsons Cos., Inc. – Class A		11,239,739
	5,011	Allison Transmission Holdings, Inc. (a)		379,884
	129,864	Ally Financial, Inc. (a)		5,060,800
	73,690	Alphabet, Inc. – Class A * (b)		12,711,525
	20,271	Alphabet, Inc. – Class C * (b)		3,526,343
	17,829	Amazon.com, Inc. * (b)		3,145,749
	81,993	Ameresco, Inc. – Class A * (a)		2,994,384
	27,093	American Express Co. (b)		6,502,320
	19,272	ANSYS, Inc. * (b)		6,117,896
	61,215	Apartment Income REIT Corp. – (REIT) (a) (b)		2,372,081
	239,598	Arcadium Lithium PLC * (a)		1,061,419
	21,401	Arch Capital Group Ltd. * (a) (b)		2,196,385
	32,114	Archer-Daniels-Midland Co. (a) (b)		2,005,198
	89,200	Array Technologies, Inc. * (a)		1,264,856
	7,184	Arrow Electronics, Inc. * (a)		943,331
	4,837	Aspen Technology, Inc. * (a)		1,018,914
	10,069	AT&T, Inc. (b)		183,457
	1,712	Atkore, Inc. (a)		260,481
	3,406	AutoNation, Inc. * (a)		579,872

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	4,557	Avnet, Inc.		248,812
	154,226	Bank of America Corp. (b)		6,167,498
	28,418	Bank of New York Mellon Corp. (b)		1,693,997
	13,600	Berry Corp.		94,792
	2,192	Berry Global Group, Inc. (a)		131,257
	19,256	Best Buy Co., Inc. (a)		1,633,294
	13,205	Bio-Rad Laboratories, Inc. – Class A * (a)		3,787,986
	1,087	Booking Holdings, Inc. (b)		4,104,892
	202,616	BorgWarner, Inc. (a)		7,225,287
	49,173	Bristol-Myers Squibb Co.		2,020,519
	2,929	Brunswick Corp. (a)		241,730
	23,393	Builders FirstSource, Inc. * (a)		3,761,360
	6,735	Bunge Global SA (a)		724,619
	32,900	California Resources Corp.		1,557,815
	45,158	Capital One Financial Corp. (a) (b)		6,215,096
	28,475	CarMax, Inc. * (a)		2,000,654
	2,669	Carter’s, Inc. (a)		182,560
	72,837	Catalent, Inc. *		3,917,902
	13,625	CBRE Group, Inc. – Class A * (b)		1,199,954
	71,546	Centene Corp. * (a) (b)		5,121,978
	95,838	Cerevel Therapeutics Holdings, Inc. *		3,904,440
	116,949	ChampionX Corp. (a)		3,814,876
	46,725	Chevron Corp. (b)		7,583,468
	2,602	Chord Energy Corp.		482,459
	7,462	Cigna Group (b)		2,571,554
	165,087	Cisco Systems, Inc. (a) (b)		7,676,546
	123,264	Citigroup, Inc.		7,680,580
	192,541	Clean Energy Fuels Corp. * (a)		602,653
	205,543	Cleveland-Cliffs, Inc. *		3,551,783
	82,672	Cognizant Technology Solutions Corp. – Class A (a) (b)		5,468,753
	190,602	Comcast Corp. – Class A (b)		7,629,798
	5,668	Commercial Metals Co.		319,222
	27,100	ConocoPhillips (a)		3,156,608
	21,200	Corteva, Inc.		1,185,928
	802	Crane NXT Co. (a)		50,702
	6,732	Crocs, Inc. *		1,047,768
	6,973	Cummins, Inc. (a)		1,964,503
	106,688	CVS Health Corp. (b)		6,358,605
	170,909	Darling Ingredients, Inc. * (a)		6,904,724
	800	Deere & Co. (b)		299,808
	46,820	Discover Financial Services (b)		5,742,941
	18,152	DR Horton, Inc. (a)		2,682,866
	39,002	Dropbox, Inc. – Class A * (a) (b)		878,715
	121,052	eBay, Inc. (a) (b)		6,563,439
	5,216	Elevance Health, Inc. (b)		2,808,712
	1,117	Encore Wire Corp.		322,511
	59,815	Endeavor Group Holdings, Inc. – Class A		1,604,836
	13,667	Enphase Energy, Inc. * (a)		1,748,009
	38,163	EOG Resources, Inc. (a)		4,753,202
	910	EPAM Systems, Inc. * (b)		161,916
	113,017	Equitrans Midstream Corp.		1,613,883
	48,081	Etsy, Inc. * (a)		3,051,701

Shares		Description	Value ($)
		United States — continued
	1,351	Everest Group Ltd.		528,146
	29,584	Expedia Group, Inc. * (b)		3,338,850
	43,751	Exxon Mobil Corp. (a)		5,130,242
	11,774	F5, Inc. * (a)		1,989,453
	7,010	Federated Hermes, Inc.		232,522
	71,977	Fidelity National Financial, Inc. (a)		3,624,762
	6,100	First Solar, Inc. * (a)		1,657,736
	3,750	Foot Locker, Inc. (a)		103,988
	504,490	Ford Motor Co. (b)		6,119,464
	13,058	Fox Corp. – Class A (a)		449,587
	141,367	Fox Corp. – Class B		4,515,262
	162,119	Franklin Resources, Inc. (a)		3,826,008
	26,800	Freeport-McMoRan, Inc.		1,413,164
	546	Garmin Ltd. (a)		89,462
	201,500	GCI Liberty, Inc. (a) (c)		—
	55,744	GE HealthCare Technologies, Inc. (a) (b)		4,348,032
	9,807	General Electric Co. (b)		1,619,528
	18,040	General Mills, Inc. (a)		1,240,250
	122,790	General Motors Co. (b)		5,524,322
	24,519	Gilead Sciences, Inc. (a)		1,575,836
	7,687	Goldman Sachs Group, Inc. (a)		3,509,269
	408,136	GrafTech International Ltd. * (a)		673,424
	184	Graham Holdings Co. – Class B (a)		138,447
	131,059	Green Plains, Inc. * (a)		2,250,283
	1,201	Group 1 Automotive, Inc. (a)		373,487
	3,100	Gulfport Energy Corp. *		501,611
	13,761	H&R Block, Inc. (a)		683,096
	13,797	Hartford Financial Services Group, Inc. (b)		1,427,300
	97,075	HashiCorp, Inc. – Class A * (b)		3,259,779
	63,116	Hess Corp.		9,726,176
	292,398	Hewlett Packard Enterprise Co. (a)		5,160,825
	14,012	Hilton Worldwide Holdings, Inc. (b)		2,810,807
	1,800	HNI Corp.		84,690
	206,521	HP, Inc.		7,538,017
	4,615	Humana, Inc. (b)		1,652,724
	81,490	Incyte Corp. * (a)		4,709,307
	199,586	Intel Corp.		6,157,228
	30,582	Intercontinental Exchange, Inc. (a)		4,094,930
	44,071	International Business Machines Corp. (b)		7,353,246
	12,241	International Paper Co. (a)		551,947
	29,790	Invesco Ltd. (a)		468,001
	5,452	Jackson Financial, Inc. – Class A (a)		414,407
	9,409	Janus Henderson Group PLC		315,202
	28,309	Jazz Pharmaceuticals PLC * (a)		2,979,522
	36,586	Johnson & Johnson (a)		5,366,069
	37,813	JPMorgan Chase & Co. (b)		7,662,048
	2,932	Keysight Technologies, Inc. * (a)		406,023
	229,058	Kinder Morgan, Inc. (a)		4,464,340
	10,744	Kohl’s Corp. (a)		240,558
	995,351	Kosmos Energy Ltd. * (a)		6,071,641
	146,530	Kraft Heinz Co. (a)		5,182,766
	47,021	Kroger Co. (b)		2,462,490
	3,510	Lam Research Corp. (a)		3,272,864

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	60,906	Las Vegas Sands Corp. (a) (b)		2,742,597
	2,129	La-Z-Boy, Inc.		79,880
	4,810	Lear Corp.		602,934
	17,119	Lennar Corp. – Class A (a) (b)		2,745,032
	100,475	Liberty Broadband Corp. – Class C * (a)		5,434,693
	19,700	Liberty Energy, Inc. (a)		486,393
	191,899	Liberty Global Ltd. – Class A *		3,198,956
	41,543	Liberty Media Corp.-Liberty Formula One – Class A *		2,841,957
	12,202	LyondellBasell Industries NV – Class A		1,213,123
	8,642	M&T Bank Corp. (a)		1,310,127
	12,343	Macy’s, Inc. (a)		240,442
	4,612	ManpowerGroup, Inc.		344,147
	15,400	Marathon Oil Corp.		445,984
	2,009	Markel Group, Inc. * (a)		3,297,954
	116,404	Match Group, Inc. * (a)		3,565,455
	511	Matson, Inc.		65,510
	57,571	McGrath RentCorp		6,274,088
	20,680	Medtronic PLC (b)		1,682,732
	56,494	Merck & Co., Inc.		7,092,257
	26,714	Meta Platforms, Inc. – Class A (b)		12,470,897
	41,536	MGIC Investment Corp. (a)		872,256
	33,941	Micron Technology, Inc. (a)		4,242,625
	31,546	Moderna, Inc. * (a)		4,496,882
	9,060	Morgan Stanley (a)		886,430
	59,420	Mosaic Co.		1,837,861
	3,462	Mueller Industries, Inc. (a)		203,946
	2,600	NEXTracker, Inc. – Class A *		143,442
	3,800	Northern Oil & Gas, Inc. (a)		155,534
	32,309	Nucor Corp.		5,455,375
	49,075	ON Semiconductor Corp. * (a)		3,584,438
	4,091	OneMain Holdings, Inc. (a)		200,950
	28	Oracle Corp. (b)		3,281
	2,100	Ormat Technologies, Inc. (a)		158,340
	21,296	Otis Worldwide Corp. (a)		2,112,563
	68,661	Ovintiv, Inc.		3,547,714
	3,260	Owens Corning		590,288
	40,200	PACCAR, Inc. (a)		4,321,500
	316,230	Paramount Global – Class B (a)		3,766,299
	100,734	PayPal Holdings, Inc. * (b)		6,345,235
	755,227	Pershing Square Tontine Holdings Ltd. (e)		1
	281,957	Pfizer, Inc.		8,080,888
	5,227	Polaris, Inc. (a)		436,977
	15,500	PotlatchDeltic Corp. – (REIT) (a) (b)		662,315
	5,459	Premier, Inc. – Class A (a)		103,284
	24,200	ProPetro Holding Corp. * (a)		231,836
	24,474	PulteGroup, Inc.		2,871,290
	27,056	QUALCOMM, Inc. (a)		5,520,777
	24,194	Radian Group, Inc.		755,821
	7,061	Regeneron Pharmaceuticals, Inc. *		6,920,910
	4,065	Signet Jewelers Ltd.		445,077
	110,297	SilverBow Resources, Inc. *		4,323,642
	1,936	Skechers U.S.A., Inc. – Class A *		138,269

Shares		Description	Value ($)
		United States — continued
	47,458	Skyworks Solutions, Inc. (a)		4,397,458
	5,833	SLM Corp.		125,176
	7,400	SM Energy Co.		373,182
	57,025	SolarEdge Technologies, Inc. * (a)		2,793,655
	12,644	Solventum Corp. * (a)		750,295
	435,606	Southwestern Energy Co. *		3,280,113
	5,372	SS&C Technologies Holdings, Inc. (b)		333,333
	15,933	State Street Corp.		1,204,375
	38,982	Steel Dynamics, Inc. (a)		5,218,520
	229,248	Sunrun, Inc. * (a)		3,314,926
	123,183	Synchrony Financial		5,395,415
	9,400	T Rowe Price Group, Inc. (a)		1,107,602
	15,600	Talos Energy, Inc. * (a)		187,356
	8,054	Tapestry, Inc. (a)		350,268
	9,505	TE Connectivity Ltd. (b)		1,422,899
	14,582	Texas Instruments, Inc. (a)		2,843,636
	9,067	Textron, Inc.		794,360
	5,869	TRU TAJ Liquidation Unit Trust / TRU TAJ Finance, Inc. (e)		59
	160,204	TRU Taj LLC / TRU Taj Finance, Inc. * (e)		320,408
	64,745	Tyson Foods, Inc. – Class A		3,706,651
	70,676	U.S. Bancorp (a)		2,865,912
	265,697	U.S. Steel Corp. (a)		10,189,480
	3,817	UFP Industries, Inc.		456,055
	3,926	United Therapeutics Corp. * (a)		1,080,160
	3,666	UnitedHealth Group, Inc. (b)		1,816,026
	15,793	Unum Group (a)		850,611
	16,028	Valero Energy Corp.		2,518,640
	1,200	Valmont Industries, Inc. (a)		301,680
	2,600	Veralto Corp. (b)		256,308
	199,645	Verizon Communications, Inc. (b)		8,215,392
	25,587	VF Corp. (a)		339,795
	445,426	Viatris, Inc. (a)		4,721,516
	226,381	Vizio Holding Corp. – Class A *		2,431,332
	254,683	Walgreens Boots Alliance, Inc. (a)		4,130,958
	91,463	Wells Fargo & Co. (a) (b)		5,480,463
	56,291	Western Union Co. (a)		720,525
	2,939	Westlake Corp. (a)		471,886
	2,141	Westmoreland Mining Holdings (c)		2,676
	65,707	Westrock Co. (a)		3,524,524
	5,082	Whirlpool Corp. (a)		472,778
	72,801	Zoom Video Communications, Inc. – Class A * (a) (b)		4,465,613
		Total United States		603,449,709
		Vietnam — 0.1%
	4,900	Dong Phu Rubber JSC		8,199
	148,899	Duc Giang Chemicals JSC		740,783
	110,900	PetroVietNam Ca Mau Fertilizer JSC		164,206
	7,800	PetroVietnam Gas JSC		24,622
	48,200	PetroVietnam Technical Services Corp.		82,291
	552,900	SSI Securities Corp.		758,207
	141,900	Vietnam Dairy Products JSC		365,307

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Vietnam — continued
	161,903	Vietnam Joint Stock Commercial Bank for Industry & Trade *		203,719
	26,600	VIX Securities JSC *		18,956
	922,635	VNDirect Securities Corp. *		649,439
		Total Vietnam		3,015,729
		TOTAL COMMON STOCKS (COST $2,236,517,166)		2,077,942,525
		PREFERRED STOCKS (g) —1.6%
		Brazil — 0.8%
	1,518,536	Bradespar SA		5,552,551
	6,600	Cia de Ferro Ligas da Bahia FERBASA		9,993
	1,630,350	Cia Energetica de Minas Gerais		3,089,372
	649,188	Gerdau SA Sponsored ADR		2,246,191
	516,495	Itausa SA		957,073
	18,900	Marcopolo SA		23,468
	846,400	Petroleo Brasileiro SA		6,252,615
	138,393	Petroleo Brasileiro SA ADR		2,049,600
	19,000	Randon SA Implementos e Participacoes		34,447
	12,420	Unipar Carbocloro SA – Class B		118,289
		Total Brazil		20,333,599
		Chile — 0.1%
	2,051	Embotelladora Andina SA – Class B		6,325
	45,100	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		2,106,170
		Total Chile		2,112,495
		Colombia — 0.1%
	36,110	Bancolombia SA Sponsored ADR		1,280,460
		Germany — 0.4%
	25,625	Bayerische Motoren Werke AG		2,477,304
	2,287	Jungheinrich AG		89,369
	71,758	Porsche Automobil Holding SE		3,959,502
	1,257	Villeroy & Boch AG		23,079
	37,034	Volkswagen AG		4,653,734
		Total Germany		11,202,988
		Russia — 0.0%
	15,222	Bashneft PJSC (e)		3,266
	79,750	Nizhnekamskneftekhim PJSC (e)		646
	49,530	Sberbank of Russia PJSC * (e) (f)		1,711
	20,862,000	Surgutneftegas PJSC (e)		156,272
	12,313	Tatneft PJSC (e)		928
	33,700	Transneft PJSC (e)		5,909
		Total Russia		168,732
		South Korea — 0.2%
	887	Hyundai Motor Co.		98,631
	3,460	Hyundai Motor Co. GDR		194,897

	Shares / Par Value†		Description	Value ($)
			South Korea — continued
		3,452	LG Electronics, Inc.		117,551
		87,090	Samsung Electronics Co. Ltd.		3,799,829
		114	Samsung Electronics Co. Ltd. (Registered)		125,058
			Total South Korea		4,335,966
			United States — 0.0%
		1,288,200	NII Holdings, Inc. (c)		450,870
			TOTAL PREFERRED STOCKS (COST $57,455,121)		39,885,110
			RIGHTS/WARRANTS — 0.0%
			Canada — 0.0%
		222,285	Clementia Pharmaceuticals, Inc. * (c)		222
			United States — 0.0%
		408,963	Bristol-Myers Squibb Co. * (c)		899,719
		50,914	Contra Abiomed, Inc. * (c)		89,099
		188,806	Pershing Square Holdings Ltd. * (c)		56,642
			Total United States		1,045,460
			Vietnam — 0.0%
		175,740	VNDirect Securities Corp., expires 07/03/24 * (c)		53,871
			TOTAL RIGHTS/WARRANTS (COST $1,235,833)		1,099,553
			INVESTMENT FUNDS — 0.4%
			United States — 0.4%
		4,418,828	Altaba, Inc. (c)		10,384,246
			TOTAL INVESTMENT FUNDS (COST $5,265,823)		10,384,246
			DEBT OBLIGATIONS — 29.4%
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		608,780	HEMA Bondco I B.V., Variable Rate, 10.00%, due 04/19/26 (e) (h)		66
			United States — 29.4%
			U.S. Government — 27.8%
		158,103,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (b) (i)		158,272,962
		90,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25		90,095,799

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	2,350,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (b) (i)		2,353,015
	59,700,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (b) (i)		59,831,179
	104,600,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (b) (i)		104,648,532
	135,925,396	U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (b)		127,785,142
	152,582,172	U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34 (b)		147,369,020
	1,000,000	U.S. Treasury Notes, 3.13%, due 08/15/25 (b)		976,992
		Total U.S. Government		691,332,641
		U.S. Government Agency — 1.6%
	40,500,000	Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24		40,508,916
		Total United States		731,841,557
		TOTAL DEBT OBLIGATIONS (COST $732,617,777)		731,841,623
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers — 0.7%
	3,528,533	GMO U.S. Treasury Fund (j)		17,642,664
		TOTAL MUTUAL FUNDS (COST $17,642,945)		17,642,664
		SHORT-TERM INVESTMENTS — 3.8%
		Money Market Funds — 0.3%
	597,116	State Street Global Advisors Liquidity PLC - U.S. Treasury Liquidity Fund – Class D Shares, 5.22% (i)		597,116
	6,398,282	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (k)		6,398,282
		Total Money Market Funds		6,995,398

Par Value† / Shares			Description	Value ($)
			Repurchase Agreements — 3.5%
	87,084,270		Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $87,122,732 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 09/30/28 and a market value of $88,437,726.		87,084,270
			TOTAL SHORT-TERM INVESTMENTS (COST $94,079,668)		94,079,668
			TOTAL INVESTMENTS — 119.4% (Cost $3,144,814,333)		2,972,875,389
			SECURITIES SOLD SHORT — (22.0)%
			Common Stocks — (21.9)%
			Australia — (0.8)%
	(58,489	)	ASX Ltd.		(2,435,639	)
	(41,386	)	CAR Group Ltd.		(966,386	)
	(12,848	)	Cochlear Ltd.		(2,768,642	)
	(117,411	)	IDP Education Ltd.		(1,256,314	)
	(511,054	)	Lottery Corp. Ltd.		(1,664,218	)
	(3,209	)	Mineral Resources Ltd.		(154,188	)
	(61,429	)	Ramsay Health Care Ltd.		(1,933,215	)
	(45,363	)	WiseTech Global Ltd.		(2,948,339	)
	(51,779	)	Xero Ltd. *		(4,701,235	)
			Total Australia		(18,828,176	)
			Austria — (0.1)%
	(24,553	)	Verbund AG		(2,015,971	)
			Belgium — (0.2)%
	(64,049	)	Anheuser-Busch InBev SA		(4,040,951	)
	(78	)	Lotus Bakeries NV		(827,652	)
			Total Belgium		(4,868,603	)
			Canada — (1.4)%
	(14,348	)	Agnico Eagle Mines Ltd.		(978,677	)
	(189,500	)	AltaGas Ltd.		(4,275,377	)
	(59,524	)	Brookfield Renewable Corp. – Class A		(1,877,387	)
	(89,134	)	Cameco Corp.		(4,947,828	)
	(127,286	)	Enbridge, Inc.		(4,656,122	)
	(34,718	)	Franco-Nevada Corp.		(4,298,088	)
	(119,278	)	GFL Environmental, Inc.		(3,753,679	)
	(72,006	)	Pan American Silver Corp.		(1,584,132	)
	(125,565	)	Pembina Pipeline Corp.		(4,662,228	)
	(54,627	)	Restaurant Brands International, Inc.		(3,746,320	)
			Total Canada		(34,779,838	)
			Denmark — (0.1)%
	(26,712	)	Coloplast AS – Class B		(3,212,842	)
	(4,760	)	Novo Nordisk AS – Class B		(644,923	)
			Total Denmark		(3,857,765	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Finland — (0.0)%
	(13,862	)	Elisa OYJ		(645,908	)
			France — (0.6)%
	(81,582	)	Accor SA *		(3,559,137	)
	(19,797	)	Aeroports de Paris SA		(2,836,821	)
	(234,159	)	Getlink SE		(4,126,475	)
	(1,886	)	Hermes International SCA		(4,476,646	)
	(1,760	)	Sartorius Stedim Biotech		(350,601	)
			Total France		(15,349,680	)
			Germany — (0.9)%
	(19,133	)	adidas AG		(4,845,821	)
	(8,684	)	Covestro AG *		(467,886	)
	(128,172	)	Delivery Hero SE *		(3,926,152	)
	(18,365	)	MTU Aero Engines AG		(4,587,540	)
	(2,673	)	Rational AG		(2,281,048	)
	(45,620	)	Siemens Energy AG *		(1,242,289	)
	(33,405	)	Symrise AG		(3,990,246	)
	(18,399	)	Talanx AG		(1,467,625	)
	(9,181	)	Vonovia SE		(288,610	)
	(22,815	)	Zalando SE *		(605,950	)
			Total Germany		(23,703,167	)
			Ireland — (0.1)%
	(65,707	)	Smurfit Kappa Group PLC		(3,204,726	)
			Israel — (0.2)%
	(17,349	)	CyberArk Software Ltd. *		(3,977,258	)
	(3,054	)	Monday.com Ltd. *		(689,929	)
			Total Israel		(4,667,187	)
			Italy — (0.6)%
	(102,675	)	Amplifon SpA		(3,795,183	)
	(11,125	)	Ferrari NV		(4,584,412	)
	(273,842	)	FinecoBank Banca Fineco SpA		(4,441,318	)
	(280,042	)	Infrastrutture Wireless Italiane SpA		(3,070,357	)
			Total Italy		(15,891,270	)
			Japan — (1.7)%
	(191,700	)	Aeon Co. Ltd.		(4,134,799	)
	(57,900	)	Asahi Intecc Co. Ltd.		(836,696	)
	(11,300	)	Disco Corp.		(4,444,955	)
	(141,000	)	Japan Exchange Group, Inc.		(3,314,200	)
	(28,500	)	Keisei Electric Railway Co. Ltd.		(1,023,621	)
	(70,600	)	Kintetsu Group Holdings Co. Ltd.		(1,500,970	)
	(57,900	)	Kobe Bussan Co. Ltd.		(1,280,669	)
	(17,000	)	Lasertec Corp.		(4,370,971	)
	(176,900	)	MonotaRO Co. Ltd.		(1,868,671	)
	(136,800	)	Oriental Land Co. Ltd.		(3,824,470	)
	(733,900	)	Rakuten Group, Inc. *		(3,817,103	)
	(19,900	)	Resona Holdings, Inc.		(138,134	)

Shares			Description	Value ($)
			Japan — continued
	(21,400	)	Sharp Corp. *		(132,231	)
	(57,600	)	Shiseido Co. Ltd.		(1,828,062	)
	(359,500	)	SoftBank Corp.		(4,310,481	)
	(27,000	)	SoftBank Group Corp.		(1,562,422	)
	(46,000	)	Tobu Railway Co. Ltd.		(812,976	)
	(169,600	)	Tokyu Corp.		(1,978,712	)
	(20,800	)	West Japan Railway Co.		(414,972	)
	(18,500	)	Zensho Holdings Co. Ltd.		(728,421	)
			Total Japan		(42,323,536	)
			Netherlands — (0.5)%
	(2,849	)	Adyen NV *		(3,694,535	)
	(24,555	)	BE Semiconductor Industries NV		(3,652,994	)
	(66,186	)	OCI NV		(1,815,219	)
	(144,122	)	Universal Music Group NV		(4,491,368	)
			Total Netherlands		(13,654,116	)
			Peru — (0.2)%
	(36,646	)	Southern Copper Corp.		(4,347,315	)
			Singapore — (0.3)%
	(1,115,905	)	Grab Holdings Ltd. – Class A *		(4,095,372	)
	(2,444,875	)	Seatrium Ltd. *		(3,191,309	)
			Total Singapore		(7,286,681	)
			Spain — (0.4)%
	(125,451	)	Cellnex Telecom SA *		(4,582,729	)
	(116,259	)	Ferrovial SE		(4,594,638	)
			Total Spain		(9,177,367	)
			Sweden — (0.3)%
	(121,235	)	Beijer Ref AB		(1,984,589	)
	(125,237	)	EQT AB		(3,836,226	)
	(188	)	Evolution AB		(20,280	)
	(70,555	)	H & M Hennes & Mauritz AB – Class B		(1,247,568	)
			Total Sweden		(7,088,663	)
			Switzerland — (0.2)%
	(18,404	)	Avolta AG		(747,276	)
	(2,599	)	Bachem Holding AG		(234,967	)
	(1,350	)	Partners Group Holding AG		(1,816,866	)
	(30,320	)	SIG Group AG		(631,493	)
	(1,422	)	VAT Group AG		(779,806	)
			Total Switzerland		(4,210,408	)
			United Kingdom — (1.5)%
	(27,204	)	Admiral Group PLC		(943,837	)
	(370,886	)	Auto Trader Group PLC		(3,901,526	)
	(19,182	)	Flutter Entertainment PLC *		(3,691,274	)
	(138,560	)	Hargreaves Lansdown PLC		(1,881,023	)
	(432,030	)	Informa PLC		(4,702,224	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — continued
	(39,400	)	InterContinental Hotels Group PLC		(4,001,020	)
	(40,267	)	London Stock Exchange Group PLC		(4,719,957	)
	(435,424	)	M&G PLC		(1,113,263	)
	(292,767	)	Phoenix Group Holdings PLC		(1,862,932	)
	(766,524	)	Rolls-Royce Holdings PLC *		(4,477,167	)
	(59,453	)	Severn Trent PLC		(1,816,691	)
	(7,678	)	Spirax-Sarco Engineering PLC		(877,976	)
	(267,411	)	Wise PLC – Class A *		(2,809,968	)
			Total United Kingdom		(36,798,858	)
			United States — (11.8)%
	(14,408	)	AbbVie, Inc.		(2,323,146	)
	(231,096	)	AES Corp.		(4,989,363	)
	(34,498	)	Alcoa Corp.		(1,527,226	)
	(29,805	)	Alnylam Pharmaceuticals, Inc. *		(4,423,956	)
	(16,570	)	Amedisys, Inc. *		(1,510,355	)
	(10,975	)	American Tower Corp. – (REIT)		(2,148,246	)
	(14,276	)	Amgen, Inc.		(4,366,315	)
	(7,049	)	Analog Devices, Inc.		(1,652,920	)
	(18,457	)	Arthur J Gallagher & Co.		(4,675,712	)
	(13,847	)	Axon Enterprise, Inc. *		(3,900,284	)
	(14,512	)	Bill Holdings, Inc. *		(755,350	)
	(23,282	)	Boeing Co. *		(4,135,116	)
	(3,579	)	Broadcom, Inc.		(4,754,880	)
	(19,022	)	Burlington Stores, Inc. *		(4,566,231	)
	(97,831	)	Caesars Entertainment, Inc. *		(3,478,870	)
	(45,339	)	Celsius Holdings, Inc. *		(3,626,213	)
	(21,196	)	Charter Communications, Inc. – Class A *		(6,085,796	)
	(37,769	)	Chesapeake Energy Corp.		(3,434,335	)
	(64,704	)	Chevron Corp.		(10,499,024	)
	(1,494	)	Chipotle Mexican Grill, Inc. *		(4,675,503	)
	(48,934	)	Cloudflare, Inc. – Class A *		(3,312,342	)
	(8,899	)	Coinbase Global, Inc. – Class A *		(2,010,462	)
	(272,823	)	Crescent Energy Co.		(3,437,570	)
	(62,120	)	Dayforce, Inc. *		(3,072,455	)
	(35,580	)	Dexcom, Inc. *		(4,225,837	)
	(8,155	)	Dominion Energy, Inc.		(439,718	)
	(101,450	)	DraftKings, Inc. – Class A *		(3,563,938	)
	(128,213	)	EQT Corp.		(5,268,272	)
	(13,621	)	Equity LifeStyle Properties, Inc. – (REIT)		(854,990	)
	(5,928	)	Erie Indemnity Co. – Class A		(2,148,485	)
	(62,508	)	Exact Sciences Corp. *		(2,840,989	)
	(3,727	)	Fair Isaac Corp. *		(4,807,569	)
	(5,906	)	Fastenal Co.		(389,678	)
	(66,634	)	Fidelity National Information Services, Inc.		(5,056,188	)
	(408	)	Fortinet, Inc. *		(24,203	)
	(8,106	)	Gartner, Inc. *		(3,401,845	)
	(7,312	)	HubSpot, Inc. *		(4,467,998	)
	(13,120	)	Hyatt Hotels Corp. – Class A		(1,934,806	)
	(22,942	)	Insulet Corp. *		(4,065,093	)
	(151,717	)	International Paper Co.		(6,840,920	)
	(15,361	)	IQVIA Holdings, Inc. *		(3,365,441	)

Shares			Description	Value ($)
			United States — continued
	(29,287	)	Iron Mountain, Inc. – (REIT)		(2,363,168	)
	(52,130	)	Juniper Networks, Inc.		(1,859,477	)
	(57,172	)	Kroger Co.		(2,994,098	)
	(1,759	)	Lamb Weston Holdings, Inc.		(155,302	)
	(38,747	)	Lattice Semiconductor Corp. *		(2,876,577	)
	(180,777	)	Liberty Global Ltd. – Class C *		(3,085,863	)
	(99,111	)	Liberty Media Corp.-Liberty Formula One – Class C *		(7,348,090	)
	(10,708	)	Linde PLC		(4,663,548	)
	(42,074	)	Live Nation Entertainment, Inc. *		(3,944,017	)
	(8,462	)	Manhattan Associates, Inc. *		(1,857,747	)
	(5,840	)	MarketAxess Holdings, Inc.		(1,161,751	)
	(2,634	)	Marvell Technology, Inc.		(181,246	)
	(10,526	)	Mastercard, Inc. – Class A		(4,705,859	)
	(7,489	)	McKesson Corp.		(4,265,659	)
	(2,914	)	MercadoLibre, Inc. *		(5,028,340	)
	(11,537	)	MongoDB, Inc. *		(2,723,424	)
	(8,488	)	Moody’s Corp.		(3,369,651	)
	(398	)	Motorola Solutions, Inc.		(145,234	)
	(8,351	)	MSCI, Inc.		(4,135,248	)
	(110,943	)	Newmont Corp.		(4,652,949	)
	(36,487	)	NiSource, Inc.		(1,060,312	)
	(42,438	)	Okta, Inc. *		(3,763,402	)
	(60,475	)	ONEOK, Inc.		(4,898,475	)
	(188,118	)	Palantir Technologies, Inc. – Class A *		(4,078,398	)
	(3,581	)	Palo Alto Networks, Inc. *		(1,056,073	)
	(27,941	)	Paychex, Inc.		(3,357,391	)
	(11,105	)	PTC, Inc. *		(1,957,145	)
	(22,256	)	Repligen Corp. *		(3,318,147	)
	(130,136	)	Rivian Automotive, Inc. – Class A *		(1,421,085	)
	(110,952	)	ROBLOX Corp. – Class A *		(3,730,206	)
	(54,922	)	Roku, Inc. *		(3,152,523	)
	(92,007	)	Rollins, Inc.		(4,203,800	)
	(57,517	)	Samsara, Inc. – Class A *		(1,951,552	)
	(85,959	)	Schlumberger NV		(3,944,659	)
	(5,587	)	Seagate Technology Holdings PLC		(520,932	)
	(4,685	)	Simon Property Group, Inc. – (REIT)		(708,887	)
	(26,728	)	Snowflake, Inc. – Class A *		(3,639,819	)
	(178	)	Super Micro Computer, Inc. *		(139,643	)
	(6,647	)	Synopsys, Inc. *		(3,727,638	)
	(24,040	)	Tesla, Inc. *		(4,281,043	)
	(786	)	Texas Pacific Land Corp.		(482,848	)
	(178,429	)	Toast, Inc. – Class A *		(4,323,335	)
	(10,322	)	Trade Desk, Inc. – Class A *		(957,675	)
	(3,672	)	TransDigm Group, Inc.		(4,932,341	)
	(30,007	)	Uber Technologies, Inc. *		(1,937,252	)
	(48,958	)	Unity Software, Inc. *		(894,463	)
	(15,525	)	Vail Resorts, Inc.		(2,929,878	)
	(12,758	)	Vistra Corp.		(1,264,063	)
	(9,383	)	Watsco, Inc.		(4,455,987	)
	(121,169	)	Williams Cos., Inc.		(5,029,725	)
	(64,968	)	WillScot Mobile Mini Holdings Corp. *		(2,561,688	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(22,929	)	Zscaler, Inc. *		(3,897,013	)
			Total United States		(293,152,286	)
			TOTAL COMMON STOCKS (PROCEEDS $458,355,042)		(545,851,521	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(11,558	)	Sartorius AG		(3,063,651	)
			TOTAL PREFERRED STOCKS (PROCEEDS $3,975,536)		(3,063,651	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $462,330,578)		(548,915,172	)
			Other Assets and Liabilities (net) — 2.6%		66,239,875
			TOTAL NET ASSETS — 100.0%		$2,490,200,092

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2024
Alrosa PJSC	12/06/17	$	15,372,968	0.0%	$	84,492
Magnitogorsk Iron & Steel Works PJSC	10/11/17		4,815,566	0.0%		35,055
Mechel PJSC	11/12/21		133,558	0.0%		1,711
PhosAgro PJSC GDR	10/15/21		2,792	0.0%		26
Polyus PJSC	06/27/20		5,699,094	0.0%		34,507
Polyus PJSC GDR (Registered)	07/27/20		0	0.0%		1
Sberbank of Russia PJSC	07/10/19		29,636,901	0.0%		279,020
Sberbank of Russia PJSC	01/10/22		183,324	0.0%		1,711
Severstal PAO	02/02/21		126,125	0.0%		1,454
Severstal PAO GDR (Registered)	10/23/17		5,003,828	0.0%		51,445
VTB Bank PJSC	01/09/20		587,690	0.0%		1,647
					$	491,069

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/29/2024	UBSA		AUD	1,167,447		USD	780,360		2,374
06/04/2024	BCLY		BRL	20,502,457		USD	3,945,056		40,496
06/04/2024	CITI		BRL	6,726,756		USD	1,322,111		41,044
06/04/2024	MSCI		BRL	23,204,074		USD	4,484,502		65,436
08/13/2024	CITI		JPY	674,726,080		USD	4,398,506		62,618
07/29/2024	DB		JPY	4,170,669,059		USD	26,854,388		112,912
07/29/2024	SSB		JPY	4,170,669,058		USD	26,851,501		110,024

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/04/2024	BCLY		MXN	132,848,557		USD	7,838,737		8,686
06/04/2024	JPM		MXN	35,323,393		USD	2,126,730		44,781
06/04/2024	MSCI		MXN	132,848,556		USD	7,833,052		3,001
06/26/2024	SSB		NOK	53,253,384		USD	5,087,362		11,063
06/25/2024	MSCI		PEN	2,480,000		USD	669,326		3,799
06/27/2024	MSCI		USD	894,753		AUD	1,376,029		21,400
07/10/2024	BCLY		USD	26,286,589		CAD	36,071,813		199,033

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/31/2024	JPM		USD	6,045,312		EUR	5,557,687		575
07/29/2024	BCLY		USD	11,949,665		GBP	9,388,603		17,032
06/26/2024	BCLY		USD	62,696,918		NOK	683,690,862		2,474,884
06/28/2024	BOA		USD	263,075		ZAR	5,000,000		2,572
06/28/2024	MSCI		USD	62,906		ZAR	1,200,000		849
06/27/2024	MSCI		AUD	8,904,591		USD	5,831,905		(96,728	)
07/29/2024	MSCI		AUD	33,529,644		USD	22,257,481		(86,659	)
07/31/2024	SSB		CHF	20,724,464		USD	22,878,346		(238,281	)
07/31/2024	UBSA		CHF	20,724,464		USD	22,880,746		(235,882	)
06/26/2024	BCLY		NOK	63,329,255		USD	5,958,810		(77,955	)
07/31/2024	SSB		NZD	12,446,744		USD	7,643,004		(7,950	)
07/15/2024	BCLY		SEK	8,750,159		USD	812,442		(20,703	)
07/15/2024	DB		SEK	12,467,279		USD	1,152,041		(35,030	)
06/04/2024	BCLY		USD	4,356,885		BRL	21,853,265		(195,072	)
08/02/2024	BCLY		USD	3,920,839		BRL	20,502,457		(38,087	)
06/04/2024	MSCI		USD	5,697,772		BRL	28,580,022		(254,891	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/02/2024	MSCI		USD	3,922,489		BRL	20,502,457		(39,737	)
07/31/2024	MSCI		USD	13,481,455		EUR	12,387,115		(6,228	)
07/29/2024	DB		USD	1,593,857		GBP	1,247,287		(4,066	)
07/29/2024	BCLY		USD	1,460,360		JPY	227,419,999		(2,190	)
07/29/2024	JPM		USD	1,326,150		JPY	206,088,852		(4,751	)
06/04/2024	BCLY		USD	8,935,541		MXN	150,510,253		(64,516	)
08/02/2024	BCLY		USD	7,766,333		MXN	132,848,557		(8,382	)
06/04/2024	MSCI		USD	8,923,302		MXN	150,510,253		(52,277	)
08/02/2024	MSCI		USD	7,760,843		MXN	132,848,556		(2,892	)
06/25/2024	BCLY		USD	173,416		PEN	640,000		(1,667	)
06/25/2024	CITI		USD	322,745		PEN	1,200,000		(716	)
06/25/2024	JPM		USD	172,381		PEN	640,000		(632	)
07/31/2024	SSB		USD	887,449		ZAR	16,305,633		(23,509	)
06/28/2024	SSB		ZAR	6,200,000		USD	329,041		(360	)
								$	1,723,418

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
13	Australia Government Bond 10 Yr.	June 2024		974,455		(33,137	)
148	CAC40 10 Euro	June 2024		12,920,377		(231,784	)
105	CBOE Volatility Index(i)	June 2024		1,447,908		(11,075	)
235	Cotton(i)	July 2024		8,947,625		(530,527	)
4	DAX Index	June 2024		2,025,458		(23,800	)
29	E-mini Russell 2000 Index	June 2024		3,009,910		8,211
80	FTSE MIB Index	June 2024		15,104,748		442,205
641	Iron Ore(i)	July 2024		7,402,268		(336,948	)
26	Live Cattle Futures(i)	August 2024		1,855,880		(24,501	)
64	Natural Gas(i)	June 2024		1,655,680		47,264
99	NY Harbor ULSD Futures(i)	June 2024		9,913,504		(339,845	)
60	NYMEX Platinum Futures(i)	July 2024		3,126,000		309,202
51	RBOB Gasoline(i)	June 2024		5,178,071		(170,580	)
255	S&P 500 E-Mini	June 2024		67,517,625		910,361
544	Soybean(i)	July 2024		32,776,000		443,683
184	Soybean Meal(i)	July 2024		6,710,480		462,702
117	Soybean Oil(i)	July 2024		3,195,504		(17,921	)
488	Sugar(i)	June 2024		10,002,048		(1,125,668	)
23	Swiss Market New Index Futures	June 2024		3,076,584		22,039
29	TOPIX Index	June 2024		5,124,903		52,479
329	U.S. Treasury Note 10 Yr. (CBT)	September 2024		35,794,172		60,483
541	U.S. Treasury Note 5 Yr. (CBT)	September 2024		57,236,109		(143,946	)
118	UK Gilt Long Bond	September 2024		14,482,826		(112,097	)
			$	309,478,135	$	(343,200	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
42	Canadian Government Bond 10 Yr.	September 2024		3,663,348		9,010
96	Cocoa(i)	July 2024		8,957,760		8,553
34	Cocoa(i)	September 2024		2,919,240		(253,166	)
110	Coffee(i)	July 2024		9,171,937		(497,602	)
206	Copper(i)	July 2024		23,700,300		(1,307,879	)
1,157	Corn(i)	July 2024		25,815,562		642,851
32	Euro Bund	June 2024		4,490,889		88,356
23	Euro Bund	September 2024		3,243,799		(1,708	)
5	FTSE 100 Index	June 2024		531,080		1,388
269	FTSE Taiwan Index	June 2024		19,440,268		492,738
25	Gold(i)	August 2024		5,864,500		106,587
135	Hang Seng Index	June 2024		15,602,351		524,877
654	IFSC NIFTY 50 Index	June 2024		29,675,904		518,662
175	KOSPI 200 Index	June 2024		11,415,191		19,137
117	Lean Hogs(i)	July 2024		4,545,450		227,033
121	MSCI Singapore	June 2024		2,771,887		21,451
15	OMX Stockholm 30 Index	June 2024		374,326		1,701
55	S&P/TSX 60	June 2024		10,769,581		(56,906	)
118	Silver(i)	July 2024		17,959,600		(1,421,631	)
116	WCE Canola Futures(i)	July 2024		1,125,148		(31,012	)
559	Wheat(i)	July 2024		18,964,075		(2,960,202	)
87	WTI Crude(i)	June 2024		6,698,130		146,100
			$	227,700,326	$	(3,721,662	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S42		USD 25,730,000		5.00%		3.36	%		N/A		06/20/2029		Quarterly	$	(1,702,734	)	$	(1,737,290	)	$	(34,556	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.07%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA		USD	7,121,211		08/09/2024		Monthly		—		121,124			121,124
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.11%	UBSA		USD	5,951,267		08/09/2024		Monthly		—		(61,503	)		(61,503	)
1 Month Federal Funds Rate plus 0.06%	Total Return on MSCI World Daily Total Return Net Growth Index	JPM		USD	2,766,977		12/16/2024		Monthly		—		(9,175	)		(9,175	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.17%	JPM		USD	4,241,249		12/16/2024		Monthly		—		60,846			60,846
1 Month Federal Funds Rate plus 0.31%	Total Return on MSCI World Daily Total Return Net Growth Index	GS		USD	6,897,481		04/30/2025		Monthly		—		59,136			59,136
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.24%	GS		USD	4,173,073		04/30/2025		Monthly		—		(22,350	)		(22,350	)
1 Month Federal Funds Rate plus 0.17%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA		USD	6,468,586		05/22/2025		Monthly		—		15,602			15,602
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.24%	UBSA		USD	9,267,923		05/22/2025		Monthly		—		62,176			62,176
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	GS		USD	15,921,730		06/24/2024		Monthly		—		490,897			490,897
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	27,515,732		06/18/2024		Monthly		—		2,914,423			2,914,423
										$	—	$	3,631,176		$	3,631,176

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(c) Investment valued using significant unobservable inputs.

(d) Securities are traded on separate exchanges for the same entity.

(e) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(f) The security is restricted as to resale.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) Security is in default.

(i) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(j) All or a portion of this security is purchased with collateral from securities loaned.

(k) The rate disclosed is the 7 day net yield as of May 31, 2024.

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(m) The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2024.

Shares			Description	% of Equity Basket			Value ($)
	(1,284,000	)	Air China Ltd. – Class H		2.8	%		(684,097	)
	(1,234,900	)	Airports Of Thailand PC NVDR		8.9	%		(2,185,996	)
	(244,000	)	Alibaba Health Information Technology Ltd.		0.4	%		(102,847	)
	(1,730,000	)	Genscript Biotech Corp.		9.0	%		(2,224,250	)
	(2,734,500	)	Gulf Energy Development PCL NVDR		12.3	%		(3,017,458	)
	(67,000	)	Haidilao International Holding Ltd.		0.6	%		(149,518	)
	(4,375	)	Hanmi Pharm Co. Ltd.		3.6	%		(897,276	)
	(291,000	)	Hapvida Participacoes e Investimentos SA		0.9	%		(221,122	)
	(179,000	)	Innovent Biologics, Inc.		3.3	%		(810,132	)
	(5,890	)	Kakao Corp.		0.8	%		(185,587	)
	(2,044,000	)	Kingdee International Software Group Co. Ltd.		8.6	%		(2,104,635	)
	(86,432	)	Korea Aerospace Industries Ltd.		13.2	%		(3,242,284	)
	403,642		Nokia OYJ		(6.4	%)		1,578,804
	(434,000	)	Nongfu Spring Co. Ltd. – Class H		9.4	%		(2,310,866	)
	(90,300	)	Rede D’Or Sao Luiz SA		1.9	%		(472,231	)
	(7,167	)	Samsung Biologics Co. Ltd.		15.4	%		(3,780,919	)
	(538,084	)	Samsung Heavy Industries Co. Ltd.		14.6	%		(3,586,183	)

Shares			Description	% of Equity Basket			Value ($)
	(365,250	)	Shandong Gold Mining Co. Ltd. – Class H		3.2	%		(785,641	)
	73,303		Stora Enso OYJ – R Shares		(4.4	%)		1,073,841
	(9,585	)	Yuhan Corp.		1.9	%		(478,855	)
			TOTAL COMMON STOCKS				$	(24,587,252	)

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	362,243	GMO Emerging Markets ex-China Fund, Class VI		5,582,154
	7,945,715	GMO International Equity Fund, Class IV		202,059,538
	3,885,854	GMO International Opportunistic Value Fund, Class IV		60,463,890
	974,308	GMO-Usonian Japan Value Creation Fund, Class VI		19,661,530
		TOTAL MUTUAL FUNDS (COST $256,694,969)		287,767,112
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	371,459	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		371,459
		TOTAL SHORT-TERM INVESTMENTS (COST $371,459)		371,459
		TOTAL INVESTMENTS — 100.0% (Cost $257,066,428)		288,138,571
		Other Assets and Liabilities (net) — (0.0%)		(118,120	)
		TOTAL NET ASSETS — 100.0%		$288,020,451

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	587,052	GMO Emerging Markets ex-China Fund, Class VI		9,046,478
	3,458,193	GMO Emerging Markets Fund, Class VI		84,864,051
	5,780,469	GMO International Equity Fund, Class IV		146,997,324
	3,024,215	GMO International Opportunistic Value Fund, Class IV		47,056,784
	1,058,857	GMO-Usonian Japan Value Creation Fund, Class VI		21,367,726
		TOTAL MUTUAL FUNDS (COST $314,578,492)		309,332,363
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	265,893	State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a)		265,893
		TOTAL SHORT-TERM INVESTMENTS (COST $265,893)		265,893
		TOTAL INVESTMENTS — 100.0% (Cost $314,844,385)		309,598,256
		Other Assets and Liabilities (net) — (0.0%)		(63,717	)
		TOTAL NET ASSETS — 100.0%		$309,534,539

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2024.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 21.9%
		Australia — 0.5%
	6,380	BHP Group Ltd. (a)		189,884
	16,457	BlueScope Steel Ltd. (a)		232,239
	22,207	Brambles Ltd. (a)		211,089
	44,850	GPT Group – (REIT) (a)		125,818
	83,063	Mirvac Group – (REIT) (a)		109,094
	44,089	Scentre Group – (REIT) (a)		93,033
	34,686	Stockland – (REIT) (a)		104,519
		Total Australia		1,065,676
		Belgium — 0.3%
	5,649	Ageas SA (a)		281,816
	800	Groupe Bruxelles Lambert NV (a)		61,349
	2,245	UCB SA (a)		314,907
		Total Belgium		658,072
		Brazil — 0.1%
	3,288	Petroleo Brasileiro SA Sponsored ADR (a)		51,128
	2,430	Vale SA Sponsored ADR (a)		29,281
	847	Vale SA		10,195
		Total Brazil		90,604
		Canada — 1.0%
	3,100	Alimentation Couche-Tard, Inc. (a)		180,935
	885	Brookfield Asset Management Ltd. – Class A (b)		34,727
	4,574	Brookfield Corp. – Class A (a)		198,923
	2,400	Canadian Tire Corp. Ltd. – Class A (a)		239,551
	300	CGI, Inc. * (a)		29,625
	1,200	iA Financial Corp., Inc. (a)		78,130
	1,500	Magna International, Inc. (a)		67,860
	7,100	Manulife Financial Corp. (a) (c)		184,409
	6,323	Manulife Financial Corp. (a) (c)		164,145
	1,777	Nutrien Ltd. (a) (c)		104,150
	1,300	Nutrien Ltd. (a) (c)		76,181
	1,600	Onex Corp. (a)		113,425
	1,400	Power Corp. of Canada (a)		40,646
	7,300	Quebecor, Inc. – Class B (a)		153,986
	3,200	West Fraser Timber Co. Ltd. (a) (c)		255,986
	400	West Fraser Timber Co. Ltd. (a) (c)		32,004
		Total Canada		1,954,683
		China — 0.4%
	78,000	Bank of Communications Co. Ltd. – Class H		58,871
	13,000	Beijing Enterprises Holdings Ltd.		45,825
	387,000	China Construction Bank Corp. – Class H		274,663
	152,000	China Railway Group Ltd. – Class H		81,901
	286,000	China Zhongwang Holdings Ltd. (d)		—
	110,000	CITIC Ltd.		111,556
	26,000	COSCO Shipping Holdings Co. Ltd. – Class H		43,538

Shares		Description	Value ($)
		China — continued
	60,000	Dongfeng Motor Group Co. Ltd. – Class H		19,463
	9,000	Kingboard Holdings Ltd.		21,896
	4,500	Orient Overseas International Ltd. (a)		76,430
	9,900	Shanghai Pharmaceuticals Holding Co. Ltd. – Class H		14,698
	8,000	Sinopharm Group Co. Ltd. – Class H		21,771
		Total China		770,612
		Denmark — 0.6%
	66	AP Moller - Maersk AS – Class A (a)		115,815
	131	AP Moller - Maersk AS – Class B (a)		238,181
	10,897	Danske Bank AS (a)		334,992
	788	Genmab AS * (a)		222,420
	73	Pandora AS (a)		11,991
	475	ROCKWOOL AS – B Shares (a)		199,852
		Total Denmark		1,123,251
		Finland — 0.3%
	4,263	Neste OYJ (a)		89,499
	86,641	Nokia OYJ (a)		338,887
	5,030	Stora Enso OYJ – R Shares (a)		73,686
		Total Finland		502,072
		France — 0.8%
	9,781	ArcelorMittal SA		258,048
	318	Cie de Saint-Gobain SA (a)		28,077
	174	LVMH Moet Hennessy Louis Vuitton SE (a)		139,155
	5,800	Renault SA (a)		340,693
	1,209	Safran SA (a)		283,154
	10,582	Societe Generale SA (a)		316,961
	4,169	STMicroelectronics NV—NY Shares		174,973
	11,205	Vivendi SE (a)		123,389
		Total France		1,664,450
		Germany — 0.3%
	1,156	Beiersdorf AG (a)		181,234
	1,911	Continental AG (a)		130,243
	859	Daimler Truck Holding AG (a)		36,754
	2,034	Mercedes-Benz Group AG (a)		147,622
	216	Siemens AG (Registered) (a)		41,632
		Total Germany		537,485
		Hong Kong — 0.0%
	16,386	Galaxy Entertainment Group Ltd.		78,951
		Ireland — 0.1%
	1,781	Ryanair Holdings PLC Sponsored ADR (a)		216,641
		Israel — 0.3%
	2,589	Bank Leumi Le-Israel BM		21,540
	1,075	Check Point Software Technologies Ltd. * (b)		161,788

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Israel — continued
	17,763	Teva Pharmaceutical Industries Ltd. Sponsored ADR * (a)		300,728
	5,573	Teva Pharmaceutical Industries Ltd. *		93,836
		Total Israel		577,892
		Italy — 0.3%
	5,943	Leonardo SpA * (a)		152,865
	12,604	Stellantis NV (a)		279,255
	751,056	Telecom Italia SpA * (a)		197,982
		Total Italy		630,102
		Japan — 1.7%
	8,200	Chubu Electric Power Co., Inc. (a)		113,289
	26,500	Honda Motor Co. Ltd. (a)		300,078
	18,800	Inpex Corp. (a)		290,079
	6,800	ITOCHU Corp. (a)		321,005
	2,300	Kansai Electric Power Co., Inc. (a)		41,624
	4,500	Kawasaki Kisen Kaisha Ltd. (a)		66,880
	7,600	Mitsui OSK Lines Ltd. (a)		250,514
	8,100	Nippon Yusen KK (a)		256,812
	20,900	Panasonic Holdings Corp. (a)		184,606
	6,600	Renesas Electronics Corp. (a)		121,616
	11,100	Sekisui House Ltd. (a)		249,945
	2,800	Shionogi & Co. Ltd. (a)		126,149
	7,900	Subaru Corp. (a)		176,602
	11,300	Sumitomo Corp. (a)		294,054
	2,700	TDK Corp. (a)		135,609
	48,400	Tokyo Electric Power Co. Holdings, Inc. * (a)		290,568
	800	Toyota Tsusho Corp. (a)		48,855
	17,400	Yamaha Motor Co. Ltd. (a)		170,376
		Total Japan		3,438,661
		Mexico — 0.2%
	20,301	Fomento Economico Mexicano SAB de CV		232,571
	38,446	Grupo Mexico SAB de CV – Series B		237,204
		Total Mexico		469,775
		Netherlands — 0.7%
	5,172	Aegon Ltd. (a)		33,547
	2,845	EXOR NV (a)		319,495
	243	IMCD NV (a)		37,083
	19,383	ING Groep NV (a)		346,284
	9,307	Koninklijke Ahold Delhaize NV (a)		288,638
	11,918	Koninklijke Philips NV * (a)		325,538
	1,914	NN Group NV (a)		89,306
		Total Netherlands		1,439,891
		New Zealand — 0.0%
	12,318	Meridian Energy Ltd. (a)		51,250
		Norway — 0.1%
	9,557	Equinor ASA (a)		277,418

Shares		Description	Value ($)
		Poland — 0.1%
	15,981	ORLEN SA		258,868
		Russia — 0.0%
	2,505	LUKOIL PJSC (d)		2,036
	5,410	Novatek PJSC (d)		647
		Total Russia		2,683
		South Africa — 0.1%
	7,025	Bidvest Group Ltd.		91,847
		South Korea — 0.6%
	900	Hyundai Engineering & Construction Co. Ltd.		21,596
	322	Hyundai Mobis Co. Ltd.		50,205
	911	Hyundai Motor Co.		167,172
	3,438	Kia Corp.		293,455
	1,657	KT Corp. Sponsored ADR (a)		22,403
	1,631	LG Corp.		95,967
	3,612	LG Electronics, Inc.		274,742
	160	NAVER Corp.		19,808
	76	POSCO Holdings, Inc.		20,381
	2,400	POSCO Holdings, Inc. Sponsored ADR (a)		161,784
	698	Shinhan Financial Group Co. Ltd.		23,946
		Total South Korea		1,151,459
		Spain — 0.6%
	2,968	Amadeus IT Group SA (a)		211,863
	30,299	Banco Bilbao Vizcaya Argentaria SA (a)		328,785
	69,531	Banco Santander SA (a)		366,689
	5,268	Industria de Diseno Textil SA (a)		250,502
		Total Spain		1,157,839
		Sweden — 0.3%
	29,827	Fastighets AB Balder – B Shares * (a)		201,951
	12,467	Investor AB – B Shares (a)		338,297
	5,437	Skanska AB – B Shares (a)		96,033
	6,618	Volvo Car AB – Class B * (a)		22,288
		Total Sweden		658,569
		Switzerland — 0.3%
	6,504	Adecco Group AG (Registered) (a)		246,832
	53	Roche Holding AG (a)		14,833
	1,146	Roche Holding AG – Genusschein (a)		292,593
		Total Switzerland		554,258
		Thailand — 0.2%
	55,000	Kasikornbank PCL NVDR		196,150
	379,800	Krung Thai Bank PCL NVDR		177,784
	4,800	PTT Exploration & Production PCL NVDR		20,184
	6,600	SCB X PCL NVDR		19,057
	13,100	Thai Oil PCL NVDR		18,495
		Total Thailand		431,670

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares		Description	Value ($)
		Turkey — 0.2%
	15,648	Akbank TAS		32,076
	13,775	KOC Holding AS		101,793
	3,234	Turk Hava Yollari AO *		30,413
	219,644	Yapi ve Kredi Bankasi AS		220,415
		Total Turkey		384,697
		United Kingdom — 1.3%
	8,754	3i Group PLC (a)		322,558
	5,374	Berkeley Group Holdings PLC (a)		362,640
	190,514	BT Group PLC (a)		318,965
	3,858	Coca-Cola HBC AG (a)		130,923
	8,624	Compass Group PLC (a)		242,129
	602	GSK PLC Sponsored ADR (b)		26,952
	3,927	Howden Joinery Group PLC (a)		45,800
	63,471	Kingfisher PLC (a)		214,875
	5,803	Persimmon PLC (a)		108,413
	5,439	Shell PLC (a)		196,319
	450	Shell PLC ADR (a)		32,751
	72,474	Taylor Wimpey PLC (a)		137,209
	2,949	Unilever PLC Sponsored ADR (a)		161,458
	30,786	Vodafone Group PLC Sponsored ADR (a)		296,161
		Total United Kingdom		2,597,153
		United States — 10.5%
	3,136	3M Co. (b)		314,039
	2,132	Akamai Technologies, Inc. * (b)		196,656
	7,426	Ally Financial, Inc. (a)		289,391
	1,704	Alphabet, Inc. – Class A * (a)		293,940
	756	Alphabet, Inc. – Class C * (a)		131,514
	1,274	Amazon.com, Inc. * (a)		224,785
	1,175	American Express Co. (a)		282,000
	953	Arch Capital Group Ltd. * (b)		97,806
	959	Archer-Daniels-Midland Co. (b)		59,880
	333	Aspen Technology, Inc. * (b)		70,146
	934	Bank of America Corp. (a)		37,351
	628	Best Buy Co., Inc. (b)		53,267
	816	Bio-Rad Laboratories, Inc. – Class A * (b)		234,078
	70	Booking Holdings, Inc. (a)		264,345
	11,256	BorgWarner, Inc. (a)		401,389
	1,633	Builders FirstSource, Inc. * (b)		262,570
	2,275	Capital One Financial Corp. (a)		313,108
	1,768	CarMax, Inc. * (b)		124,220
	964	CBRE Group, Inc. – Class A * (a)		84,899
	3,538	Centene Corp. * (b)		253,285
	906	Chevron Corp. (a)		147,044
	5,702	Cisco Systems, Inc. (a) (b)		265,143
	5,210	Citigroup, Inc. (a)		324,635
	14,548	Cleveland-Cliffs, Inc. * (a)		251,389
	4,300	Cognizant Technology Solutions Corp. – Class A (a)		284,445
	7,000	Comcast Corp. – Class A (a)		280,210
	702	Corebridge Financial, Inc. (b)		20,477
	131	Cummins, Inc. (b)		36,907

Shares		Description	Value ($)
		United States — continued
	4,872	CVS Health Corp. (a)		290,371
	3,297	Darling Ingredients, Inc. * (b)		133,199
	2,521	Discover Financial Services (a)		309,226
	1,234	DR Horton, Inc. (b)		182,385
	2,802	Dropbox, Inc. – Class A * (b)		63,129
	5,900	eBay, Inc. (a)		319,898
	259	Enphase Energy, Inc. * (b)		33,126
	1,645	EOG Resources, Inc. (b)		204,885
	86	EPAM Systems, Inc. * (a)		15,302
	3,449	Etsy, Inc. * (b)		218,908
	86	Everest Group Ltd. (a)		33,620
	2,149	Expedia Group, Inc. * (a)		242,536
	716	F5, Inc. * (b)		120,983
	4,540	Fidelity National Financial, Inc. (b)		228,634
	24,100	Ford Motor Co. (a)		292,333
	2,645	Fox Corp. – Class A (b)		91,067
	7,200	Fox Corp. – Class B (a)		229,968
	9,812	Franklin Resources, Inc. (b)		231,563
	3,219	GE HealthCare Technologies, Inc. (a)		251,082
	610	General Electric Co. (a)		100,735
	7,263	General Motors Co. (a)		326,762
	1,889	Green Plains, Inc. * (b)		32,434
	15,218	Hewlett Packard Enterprise Co. (b)		268,598
	870	Hilton Worldwide Holdings, Inc. (a)		174,522
	10,191	HP, Inc. (a)		371,972
	4,644	Incyte Corp. * (b)		268,377
	8,806	Intel Corp. (a)		271,665
	1,895	Intercontinental Exchange, Inc. (b)		253,741
	1,751	International Business Machines Corp. (a)		292,154
	2,045	Jazz Pharmaceuticals PLC * (b)		215,236
	346	Keysight Technologies, Inc. * (b)		47,914
	16,718	Kinder Morgan, Inc. (a)		325,834
	7,657	Kraft Heinz Co. (b)		270,828
	1,411	Kroger Co. (a)		73,894
	218	Lam Research Corp. (b)		203,272
	3,774	Las Vegas Sands Corp. (b)		169,943
	214	Lear Corp. (a)		26,825
	1,247	Lennar Corp. – Class A (b)		199,956
	124	Markel Group, Inc. * (a)		203,557
	8,404	Match Group, Inc. * (b)		257,415
	1,946	Merck & Co., Inc. (a)		244,301
	1,018	Meta Platforms, Inc. – Class A (a)		475,233
	2,107	Micron Technology, Inc. (b)		263,375
	2,165	Moderna, Inc. * (b)		308,621
	3,051	Mosaic Co. (a)		94,367
	1,800	Nucor Corp. (a)		303,930
	3,389	ON Semiconductor Corp. * (b)		247,533
	1,322	Otis Worldwide Corp. (b)		131,142
	4,852	Ovintiv, Inc. (a)		250,703
	2,992	PACCAR, Inc. (b)		321,640
	23,008	Paramount Global – Class B (b)		274,025
	4,799	PayPal Holdings, Inc. * (a)		302,289
	10,984	Pfizer, Inc. (a)		314,801
	1,712	PulteGroup, Inc. (a)		200,852

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares/ Par Value†		Description	Value ($)
		United States — continued
	886	QUALCOMM, Inc. (a)		180,788
	353	Regeneron Pharmaceuticals, Inc. * (a)		345,997
	2,776	Skyworks Solutions, Inc. (b)		257,224
	1,013	SolarEdge Technologies, Inc. * (b)		49,627
	784	Solventum Corp. * (b)		46,523
	369	SS&C Technologies Holdings, Inc. (a)		22,896
	2,245	Steel Dynamics, Inc. (b)		300,538
	6,634	Synchrony Financial (a)		290,569
	875	TE Connectivity Ltd. (a)		130,988
	902	Texas Instruments, Inc. (b)		175,899
	830	Textron, Inc. (a)		72,716
	4,211	Tyson Foods, Inc. – Class A (a) (b)		241,080
	3,495	U.S. Bancorp (b)		141,722
	129	United Therapeutics Corp. * (b)		35,492
	334	Valero Energy Corp. (a)		52,485
	8,234	Verizon Communications, Inc. (a)		338,829
	24,200	Viatris, Inc. (b)		256,520
	13,730	Walgreens Boots Alliance, Inc. (b)		222,701
	4,269	Wells Fargo & Co. (b)		255,799
	266	Westlake Corp. (b)		42,709
	4,000	Zoom Video Communications, Inc. – Class A * (a) (b)		245,360
		Total United States		20,886,042
		TOTAL COMMON STOCKS (COST $38,778,264)		43,722,571
		PREFERRED STOCKS (e) — 0.4%
		Brazil — 0.1%
	19,936	Bradespar SA		72,897
	1,278	Petroleo Brasileiro SA ADR (a)		18,927
		Total Brazil		91,824
		Germany — 0.3%
	1,287	Bayerische Motoren Werke AG (a)		124,421
	4,846	Porsche Automobil Holding SE (a)		267,395
	2,178	Volkswagen AG (a)		273,690
		Total Germany		665,506
		TOTAL PREFERRED STOCKS (COST $715,139)		757,330
		DEBT OBLIGATIONS — 0.7%
		United States — 0.7%
		U.S. Government — 0.7%
	1,350,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a)		1,351,472
		TOTAL DEBT OBLIGATIONS (COST $1,350,342)		1,351,472

Shares			Description	Value ($)
			MUTUAL FUNDS — 81.0%
			United States — 81.0%
			Affiliated Issuers — 81.0%
	666,357		GMO Asset Allocation Bond Fund, Class VI		12,407,576
	110,054		GMO Climate Change Fund, Class III		2,610,489
	379,045		GMO Emerging Country Debt Fund, Class VI		7,440,646
	296,216		GMO Emerging Markets ex-China Fund, Class VI		4,564,681
	466,049		GMO Emerging Markets Fund, Class VI		11,436,854
	1,404,613		GMO International Equity Fund, Class IV		35,719,314
	1,067,569		GMO International Opportunistic Value Fund, Class IV		16,611,367
	727,587		GMO-Usonian Japan Value Creation Fund, Class VI		14,682,707
	411,928		GMO Multi-Sector Fixed Income Fund, Class IV		7,113,995
	224,422		GMO Quality Fund, Class VI		7,118,666
	221,553		GMO Resources Fund, Class VI		5,080,217
	301,211		GMO Small Cap Quality Fund, Class VI		7,439,920
	654,883		GMO U.S. Equity Fund, Class VI		9,430,308
	715,696		GMO U.S. Opportunistic Value Fund, Class VI		16,554,042
	665,161		GMO U.S. Treasury Fund		3,325,804
			Total Affiliated Issuers		161,536,586
			TOTAL MUTUAL FUNDS (COST $147,901,356)		161,536,586
			SHORT-TERM INVESTMENTS — 12.6%
			Money Market Funds — 1.0%
	2,044,715		State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (f)		2,044,715
			Repurchase Agreements — 11.6%
	22,999,865		Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $23,010,042 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $23,540,496.		22,999,865
			TOTAL SHORT-TERM INVESTMENTS (COST $25,044,580)		25,044,580
			TOTAL INVESTMENTS — 116.6% (Cost $213,789,681)		232,412,539
			SECURITIES SOLD SHORT — (16.9)%
			Common Stocks — (16.8)%
			Australia — (0.7)%
	(4,131	)	ASX Ltd.		(172,026	)
	(2,812	)	CAR Group Ltd.		(65,662	)
	(1,035	)	Cochlear Ltd.		(223,034	)
	(11,051	)	IDP Education Ltd.		(118,247	)
	(28,726	)	Lottery Corp. Ltd.		(93,544	)
	(3,990	)	Ramsay Health Care Ltd.		(125,568	)
	(3,412	)	WiseTech Global Ltd.		(221,761	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Australia — continued
	(3,637	)	Xero Ltd. *		(330,219	)
			Total Australia		(1,350,061	)
			Austria — (0.1)%
	(1,660	)	Verbund AG		(136,298	)
			Belgium — (0.2)%
	(4,330	)	Anheuser-Busch InBev SA		(273,186	)
	(5	)	Lotus Bakeries NV		(53,055	)
			Total Belgium		(326,241	)
			Canada — (1.2)%
	(1,133	)	Agnico Eagle Mines Ltd.		(77,282	)
	(12,100	)	AltaGas Ltd.		(272,992	)
	(4,733	)	Brookfield Renewable Corp. – Class A		(149,279	)
	(6,027	)	Cameco Corp.		(334,559	)
	(8,205	)	Enbridge, Inc.		(300,139	)
	(2,423	)	Franco-Nevada Corp.		(299,967	)
	(7,433	)	GFL Environmental, Inc.		(233,917	)
	(4,298	)	Pan American Silver Corp.		(94,556	)
	(8,100	)	Pembina Pipeline Corp.		(300,753	)
	(4,000	)	Restaurant Brands International, Inc.		(274,320	)
			Total Canada		(2,337,764	)
			China — (0.0)%
	(723	)	Yum China Holdings, Inc.		(25,855	)
			Denmark — (0.1)%
	(1,806	)	Coloplast AS – Class B		(217,220	)
	(270	)	Novo Nordisk AS – Class B		(36,582	)
			Total Denmark		(253,802	)
			Finland — (0.0)%
	(938	)	Elisa OYJ		(43,707	)
			France — (0.5)%
	(5,908	)	Accor SA *		(257,745	)
	(1,525	)	Aeroports de Paris SA		(218,526	)
	(13,476	)	Getlink SE		(237,481	)
	(136	)	Hermes International SCA		(322,812	)
	(185	)	Sartorius Stedim Biotech		(36,853	)
			Total France		(1,073,417	)
			Germany — (0.8)%
	(1,294	)	adidas AG		(327,732	)
	(544	)	Covestro AG *		(29,310	)
	(8,976	)	Delivery Hero SE *		(274,952	)
	(1,219	)	MTU Aero Engines AG		(304,504	)
	(184	)	Rational AG		(157,019	)
	(4,145	)	Siemens Energy AG *		(112,874	)
	(2,301	)	Symrise AG		(274,856	)
	(1,255	)	Talanx AG		(100,107	)

Shares			Description	Value ($)
			Germany — continued
	(1,286	)	Zalando SE *		(34,155	)
			Total Germany		(1,615,509	)
			Israel — (0.2)%
	(1,183	)	CyberArk Software Ltd. *		(271,203	)
	(118	)	Monday.com Ltd. *		(26,657	)
			Total Israel		(297,860	)
			Italy — (0.6)%
	(7,509	)	Amplifon SpA		(277,556	)
	(739	)	Ferrari NV (c)		(304,529	)
	(42	)	Ferrari NV (c)		(17,262	)
	(17,820	)	FinecoBank Banca Fineco SpA		(289,014	)
	(19,965	)	Infrastrutture Wireless Italiane SpA		(218,894	)
			Total Italy		(1,107,255	)
			Japan — (1.5)%
	(12,300	)	Aeon Co. Ltd.		(265,300	)
	(3,900	)	Asahi Intecc Co. Ltd.		(56,358	)
	(800	)	Disco Corp.		(314,687	)
	(1,200	)	East Japan Railway Co.		(20,810	)
	(9,600	)	Japan Exchange Group, Inc.		(225,648	)
	(2,100	)	Keisei Electric Railway Co. Ltd.		(75,425	)
	(4,100	)	Kintetsu Group Holdings Co. Ltd.		(87,167	)
	(5,500	)	Kobe Bussan Co. Ltd.		(121,652	)
	(1,200	)	Lasertec Corp.		(308,539	)
	(500	)	McDonald’s Holdings Co. Japan Ltd.		(20,481	)
	(13,300	)	MonotaRO Co. Ltd.		(140,494	)
	(1,700	)	Odakyu Electric Railway Co. Ltd.		(17,816	)
	(8,500	)	Oriental Land Co. Ltd.		(237,632	)
	(54,300	)	Rakuten Group, Inc. *		(282,421	)
	(3,200	)	Shiseido Co. Ltd.		(101,559	)
	(23,900	)	SoftBank Corp.		(286,566	)
	(2,200	)	SoftBank Group Corp.		(127,308	)
	(3,400	)	Tobu Railway Co. Ltd.		(60,089	)
	(10,800	)	Tokyu Corp.		(126,003	)
	(1,800	)	West Japan Railway Co.		(35,911	)
	(1,300	)	Zensho Holdings Co. Ltd.		(51,186	)
			Total Japan		(2,963,052	)
			Netherlands — (0.5)%
	(206	)	Adyen NV *		(267,137	)
	(1,669	)	BE Semiconductor Industries NV		(248,294	)
	(4,475	)	OCI NV		(122,731	)
	(9,745	)	Universal Music Group NV		(303,690	)
			Total Netherlands		(941,852	)
			Peru — (0.1)%
	(2,478	)	Southern Copper Corp.		(294,023	)
			Singapore — (0.2)%
	(71,141	)	Grab Holdings Ltd. – Class A *		(261,087	)
	(137,670	)	Seatrium Ltd. *		(179,701	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			Singapore — continued
	(4,300	)	Singapore Airlines Ltd.		(21,593	)
			Total Singapore		(462,381	)
			Spain — (0.3)%
	(7,689	)	Cellnex Telecom SA *		(280,879	)
	(8,429	)	Ferrovial SE		(333,120	)
			Total Spain		(613,999	)
			Sweden — (0.2)%
	(9,392	)	Beijer Ref AB		(153,745	)
	(8,370	)	EQT AB		(256,388	)
	(13	)	Evolution AB		(1,402	)
	(4,063	)	H & M Hennes & Mauritz AB – Class B		(71,843	)
			Total Sweden		(483,378	)
			Switzerland — (0.1)%
	(1,244	)	Avolta AG		(50,511	)
	(92	)	Partners Group Holding AG		(123,816	)
	(2,044	)	SIG Group AG		(42,572	)
	(103	)	VAT Group AG		(56,484	)
			Total Switzerland		(273,383	)
			United Kingdom — (1.3)%
	(2,205	)	Admiral Group PLC		(76,502	)
	(25,277	)	Auto Trader Group PLC		(265,901	)
	(1,351	)	Flutter Entertainment PLC *		(259,979	)
	(11,049	)	Hargreaves Lansdown PLC		(149,996	)
	(28,999	)	Informa PLC		(315,626	)
	(2,664	)	InterContinental Hotels Group PLC		(270,526	)
	(2,750	)	London Stock Exchange Group PLC		(322,345	)
	(29,572	)	M&G PLC		(75,608	)
	(19,795	)	Phoenix Group Holdings PLC		(125,959	)
	(53,494	)	Rolls-Royce Holdings PLC *		(312,451	)
	(3,752	)	Severn Trent PLC		(114,649	)
	(605	)	Spirax-Sarco Engineering PLC		(69,181	)
	(15,583	)	Wise PLC – Class A *		(163,747	)
			Total United Kingdom		(2,522,470	)
			United States — (8.2)%
	(1,118	)	AbbVie, Inc.		(180,266	)
	(188	)	AECOM		(16,420	)
	(16,076	)	AES Corp.		(347,081	)
	(1,738	)	Alnylam Pharmaceuticals, Inc. *		(257,971	)
	(696	)	American Tower Corp. – (REIT)		(136,235	)
	(1,054	)	Amgen, Inc.		(322,366	)
	(326	)	Analog Devices, Inc.		(76,444	)
	(1,217	)	Arthur J Gallagher & Co.		(308,303	)
	(1,015	)	Axon Enterprise, Inc. *		(285,895	)
	(1,205	)	Bill Holdings, Inc. *		(62,720	)
	(1,625	)	Boeing Co. *		(288,616	)
	(250	)	Broadcom, Inc.		(332,137	)
	(1,341	)	Burlington Stores, Inc. *		(321,907	)
	(6,006	)	Caesars Entertainment, Inc. *		(213,573	)

Shares			Description	Value ($)
			United States — continued
	(3,066	)	Celsius Holdings, Inc. *		(245,219	)
	(101	)	Chipotle Mexican Grill, Inc. *		(316,082	)
	(3,328	)	Cloudflare, Inc. – Class A *		(225,272	)
	(602	)	Coinbase Global, Inc. – Class A *		(136,004	)
	(21	)	CoStar Group, Inc. *		(1,642	)
	(4,078	)	Dayforce, Inc. *		(201,698	)
	(2,510	)	Dexcom, Inc. *		(298,113	)
	(551	)	Dominion Energy, Inc.		(29,710	)
	(7,286	)	DraftKings, Inc. – Class A *		(255,957	)
	(120	)	Ecolab, Inc.		(27,864	)
	(5,918	)	EQT Corp.		(243,171	)
	(1,017	)	Equity LifeStyle Properties, Inc. – (REIT)		(63,837	)
	(417	)	Erie Indemnity Co. – Class A		(151,133	)
	(4,416	)	Exact Sciences Corp. *		(200,707	)
	(246	)	Fair Isaac Corp. *		(317,323	)
	(290	)	Fastenal Co.		(19,134	)
	(4,505	)	Fidelity National Information Services, Inc.		(341,839	)
	(548	)	Gartner, Inc. *		(229,979	)
	(510	)	HubSpot, Inc. *		(311,635	)
	(887	)	Hyatt Hotels Corp. – Class A		(130,806	)
	(1,435	)	Insulet Corp. *		(254,268	)
	(1,039	)	IQVIA Holdings, Inc. *		(227,635	)
	(1,992	)	Iron Mountain, Inc. – (REIT)		(160,734	)
	(386	)	Lamb Weston Holdings, Inc.		(34,080	)
	(2,690	)	Lattice Semiconductor Corp. *		(199,706	)
	(4,100	)	Liberty Media Corp.-Liberty Formula One – Class C *		(303,974	)
	(728	)	Linde PLC		(317,059	)
	(3,321	)	Live Nation Entertainment, Inc. *		(311,311	)
	(572	)	Manhattan Associates, Inc. *		(125,577	)
	(418	)	MarketAxess Holdings, Inc.		(83,153	)
	(110	)	Marsh & McLennan Cos., Inc.		(22,834	)
	(527	)	Marvell Technology, Inc.		(36,263	)
	(700	)	Mastercard, Inc. – Class A		(312,949	)
	(527	)	McKesson Corp.		(300,174	)
	(204	)	MercadoLibre, Inc. *		(352,018	)
	(800	)	MongoDB, Inc. *		(188,848	)
	(574	)	Moody’s Corp.		(227,872	)
	(63	)	Motorola Solutions, Inc.		(22,989	)
	(578	)	MSCI, Inc.		(286,214	)
	(8,276	)	Newmont Corp.		(347,095	)
	(2,467	)	NiSource, Inc.		(71,691	)
	(2,886	)	Okta, Inc. *		(255,930	)
	(4,353	)	ONEOK, Inc.		(352,593	)
	(12,793	)	Palantir Technologies, Inc. – Class A *		(277,352	)
	(205	)	Palo Alto Networks, Inc. *		(60,457	)
	(1,981	)	Paychex, Inc.		(238,037	)
	(665	)	PTC, Inc. *		(117,200	)
	(1,588	)	Repligen Corp. *		(236,755	)
	(10,788	)	Rivian Automotive, Inc. – Class A *		(117,805	)
	(7,373	)	ROBLOX Corp. – Class A *		(247,880	)
	(3,563	)	Roku, Inc. *		(204,516	)
	(6,604	)	Rollins, Inc.		(301,737	)
	(4,155	)	Samsara, Inc. – Class A *		(140,979	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2024 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(486	)	Seagate Technology Holdings PLC		(45,315	)
	(46	)	Sherwin-Williams Co.		(13,975	)
	(340	)	Simon Property Group, Inc. – (REIT)		(51,445	)
	(1,865	)	Snowflake, Inc. – Class A *		(253,976	)
	(71	)	Starbucks Corp.		(5,696	)
	(24	)	Super Micro Computer, Inc. *		(18,828	)
	(1,638	)	Tesla, Inc. *		(291,695	)
	(51	)	Texas Pacific Land Corp.		(31,330	)
	(12,134	)	Toast, Inc. – Class A *		(294,007	)
	(563	)	Trade Desk, Inc. – Class A *		(52,235	)
	(248	)	TransDigm Group, Inc.		(333,121	)
	(2,029	)	Uber Technologies, Inc. *		(130,992	)
	(2,800	)	Unity Software, Inc. *		(51,156	)
	(1,132	)	Vail Resorts, Inc.		(213,631	)
	(863	)	Vistra Corp.		(85,506	)
	(670	)	Watsco, Inc.		(318,183	)
	(8,193	)	Williams Cos., Inc.		(340,091	)
	(216	)	Zillow Group, Inc. – Class C *		(8,845	)

Shares			Description	Value ($)
			United States — continued
	(1,493	)	Zscaler, Inc. *		(253,750	)
			Total United States		(16,428,521	)
			TOTAL COMMON STOCKS (PROCEEDS $29,969,446)		(33,550,828	)
			PREFERRED STOCKS (e) — (0.1)%
			Germany — (0.1)%
	(782	)	Sartorius AG		(207,283	)
			TOTAL PREFERRED STOCKS (PROCEEDS $292,621)		(207,283	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $30,262,067)		(33,758,111	)
			Other Assets and Liabilities (net) — 0.3%		678,848
			TOTAL NET ASSETS — 100.0%		$199,333,276

A summary of outstanding financial instruments at May 31, 2024 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Equity Basket (g)

1 Month Federal Funds Rate minus 0.40%

GS

USD 1,148,992

06/24/2024

Monthly

—

35,470

35,470

Total Return on Equity Basket (g)

1 Month Federal Funds Rate minus 0.40%

MORD

USD 1,873,107

06/18/2024

Monthly

—

176,827

176,827

$

—

$

212,297

$

212,297

As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) All or a portion of this security is out on loan.

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of May 31, 2024.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2024 (Unaudited)

The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund and Strategic Opportunities Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund and Implementation Fund may also invest in GMO Alternative Allocation SPC Ltd. and GMO Implementation SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Basis of presentation and principles of consolidation: Alternative Allocation Fund and Implementation Fund

Alternative Allocation Fund and Implementation Fund include the accounts of their wholly-owned subsidiaries and the accompanying Schedules of Investments have been consolidated for those accounts. The Consolidated Schedules of Investments include all of the assets and liabilities of each wholly-owned subsidiary. Alternative Allocation Fund and Implementation Fund are herein referred to as “Consolidated Alternative Allocation Fund” and “Consolidated Implementation Fund”, respectively.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued off the last traded price with a discount for liquidity; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2024:

Description	Level 1		Level 2		Level 3			Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	4,988,668	$	—		$	4,988,668
Belgium		—		1,205,344		—			1,205,344
Brazil		115,566		—		—			115,566
Canada		3,948,556		—		352,512			4,301,068
China		—		1,300,592		0	§		1,300,592
Denmark		—		1,936,898		—			1,936,898
Finland		—		685,986		—			685,986
France		302,730		1,840,603		—			2,143,333
Germany		—		627,939		—			627,939
Israel		907,031		111,932		—			1,018,963
Italy		—		1,081,332		—			1,081,332
Japan		—		19,373,754		—			19,373,754
Mexico		19,503		—		—			19,503
Netherlands		—		2,376,891		—			2,376,891
New Zealand		—		69,452		—			69,452
Norway		—		506,621		—			506,621
Poland		—		495,655		—			495,655
South Africa		—		179,405		—			179,405
South Korea		348,446		1,671,486		—			2,019,932
Spain		—		1,138,420		—			1,138,420
Sweden		—		1,152,250		—			1,152,250
Switzerland		—		947,072		—			947,072
Thailand		—		799,777		—			799,777
Turkey		—		606,797		—			606,797
United Kingdom		886,888		5,086,776		—			5,973,664
United States		117,352,836		—		0	§		117,352,836
TOTAL COMMON STOCKS		123,881,556		48,183,650		352,512			172,417,718
Preferred Stocks
Brazil		18,927		—		—			18,927
Germany		—		1,168,525		—			1,168,525
TOTAL PREFERRED STOCKS		18,927		1,168,525		—			1,187,452
Rights/Warrants
United States		—		—		464,735			464,735
TOTAL RIGHTS/WARRANTS		—		—		464,735			464,735
Investment Funds
United States		—		—		3,186,802			3,186,802
TOTAL INVESTMENT FUNDS		—		—		3,186,802			3,186,802
Debt Obligations
United States		39,030,876		45,017,816		—			84,048,692
TOTAL DEBT OBLIGATIONS		39,030,876		45,017,816		—			84,048,692
Mutual Funds
United States		3,683,820		—		—			3,683,820
TOTAL MUTUAL FUNDS		3,683,820		—		—			3,683,820
Short-Term Investments		1,492,250		43,719,609		—			45,211,859
Total Investments		168,107,429		138,089,600		4,004,049			310,201,078
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,902,061		—			1,902,061
Futures Contracts
Equity Risk		401,421		598,347		—			999,768
Interest Rate Risk		36,065		—		—			36,065
Physical Commodity Contract Risk		648,341		—		—			648,341

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts
Credit Risk	$	—		$	4,415,966		$	—	$	4,415,966
Equity Risk		—			402,543			—		402,543
Interest Rate Risk		—			1,066,940			—		1,066,940
Total	$	169,193,256		$	146,475,457		$	4,004,049	$	319,672,762
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(2,314,195	)	$	—	$	(2,314,195	)
Austria		—			(252,068	)		—		(252,068	)
Belgium		—			(573,354	)		—		(573,354	)
Canada		(4,145,919	)		—			—		(4,145,919	)
China		(20,204	)		—			—		(20,204	)
Denmark		—			(452,356	)		—		(452,356	)
Finland		—			(92,213	)		—		(92,213	)
France		—			(1,785,098	)		—		(1,785,098	)
Germany		—			(2,781,226	)		—		(2,781,226	)
Ireland		—			(1,567,807	)		—		(1,567,807	)
Israel		(540,158	)		—			—		(540,158	)
Italy		—			(1,900,962	)		—		(1,900,962	)
Japan		—			(5,061,744	)		—		(5,061,744	)
Netherlands		—			(1,619,601	)		—		(1,619,601	)
Peru		(518,413	)		—			—		(518,413	)
Singapore		(464,611	)		(338,392	)		—		(803,003	)
Spain		—			(1,070,059	)		—		(1,070,059	)
Sweden		—			(842,427	)		—		(842,427	)
Switzerland		—			(509,979	)		—		(509,979	)
United Kingdom		—			(4,348,663	)		—		(4,348,663	)
United States		(54,567,503	)		—			—		(54,567,503	)
TOTAL COMMON STOCKS		(60,256,808	)		(25,510,144	)		—		(85,766,952	)
Preferred Stocks
Germany		—			(363,143	)		—		(363,143	)
TOTAL PREFERRED STOCKS		—			(363,143	)		—		(363,143	)
Debt Obligations
United States		—			(26,964,014	)		—		(26,964,014	)
TOTAL DEBT OBLIGATIONS		—			(26,964,014	)		—		(26,964,014	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(854,385	)		—		(854,385	)
Futures Contracts
Equity Risk		(15,072	)		(72,107	)		—		(87,179	)
Interest Rate Risk		(60,359	)		—			—		(60,359	)
Physical Commodity Contract Risk		(2,564,121	)		—			—		(2,564,121	)
Written Options
Credit Risk		—			(132,007	)		—		(132,007	)
Equity Risk		(106,956	)		—			—		(106,956	)
Swap Contacts
Credit Risk		—			(3,880,090	)		—		(3,880,090	)
Equity Risk		—			(59,088	)		—		(59,088	)
Interest Rate Risk		—			(1,063,187	)		—		(1,063,187	)
Total	$	(63,003,316	)	$	(58,898,165	)	$	—	$	(121,901,481	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,630,244,469		$	—		$	—	$	2,630,244,469
Short-Term Investments		1,526,944			—			—		1,526,944
Total Investments		2,631,771,413			—			—		2,631,771,413
Total	$	2,631,771,413		$	—		$	—	$	2,631,771,413

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	15,496,990	$	—		$	15,496,990
Austria		—		4,698,907		—			4,698,907
Belgium		—		10,675,553		—			10,675,553
Brazil		1,993,939		4,321,807		—			6,315,746
Canada		35,740,588		201,628		15,800			35,958,016
Chile		34,369		368,470		—			402,839
China		2,736,322		18,768,229		0	§		21,504,551
Czech Republic		—		247,411		—			247,411
Denmark		—		8,127,045		—			8,127,045
Egypt		—		388,032		—			388,032
Finland		—		4,669,686		—			4,669,686
France		2,811,948		38,130,249		—			40,942,197
Germany		—		13,422,113		—			13,422,113
Greece		—		694,324		0	§		694,324
Hong Kong		—		8,289,128		—			8,289,128
Hungary		—		2,521,880		—			2,521,880
India		1,084,605		19,067,681		—			20,152,286
Indonesia		—		3,814,812		—			3,814,812
Ireland		1,678,632		566,198		—			2,244,830
Israel		3,113,558		439,218		—			3,552,776
Italy		550,599		18,539,371		—			19,089,970
Japan		2,292,280		193,676,405		—			195,968,685
Kuwait		—		73,044		—			73,044
Malaysia		—		1,404,604		—			1,404,604
Mexico		8,159,323		—		0	§		8,159,323
Netherlands		—		24,681,603		—			24,681,603
New Zealand		—		349,330		—			349,330
Norway		89,607		8,506,649		—			8,596,256
Pakistan		—		289,907		—			289,907
Philippines		—		16,897		—			16,897
Poland		—		5,395,387		—			5,395,387
Portugal		—		375,018		—			375,018
Qatar		—		454,382		—			454,382
Russia		—		—		410,193			410,193
Saudi Arabia		—		300,385		—			300,385
Singapore		—		7,022,367		—			7,022,367
South Africa		—		6,062,413		—			6,062,413
South Korea		1,809,951		18,057,233		—			19,867,184
Spain		—		22,819,409		—			22,819,409
Sweden		—		7,156,528		—			7,156,528
Switzerland		2,809,765		13,134,808		—			15,944,573
Taiwan		4,784,334		25,799,983		—			30,584,317
Thailand		—		6,612,599		—			6,612,599
Turkey		—		5,309,221		—			5,309,221
United Arab Emirates		—		455,128		—			455,128
United Kingdom		10,343,319		38,775,979		607			49,119,905
United States		208,664,083		—		—			208,664,083
Vietnam		—		1,478,999		—			1,478,999
TOTAL COMMON STOCKS		288,697,222		561,657,010		426,600			850,780,832
Preferred Stocks
Brazil		2,806,309		5,007,991		—			7,814,300
Colombia		636,826		—		—			636,826
Germany		—		4,662,634		—			4,662,634
Russia		—		—		76,090			76,090
South Korea		—		1,853,684		—			1,853,684
TOTAL PREFERRED STOCKS		3,443,135		11,524,309		76,090			15,043,534
Rights/Warrants
Vietnam		—		—		24,198			24,198
TOTAL RIGHTS/WARRANTS		—		—		24,198			24,198

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	47,537,056		$	128,451,081		$	—	$	175,988,137
TOTAL DEBT OBLIGATIONS		47,537,056			128,451,081			—		175,988,137
Mutual Funds
United States		218,209,540			—			—		218,209,540
TOTAL MUTUAL FUNDS		218,209,540			—			—		218,209,540
Short-Term Investments		3,188,952			89,999,770			—		93,188,722
Total Investments		561,075,905			791,632,170			526,888		1,353,234,963
Derivatives^
Futures Contracts
Interest Rate Risk		31,941			—			—		31,941
Swap Contracts
Equity Risk		—			1,313,261			—		1,313,261
Total	$	561,107,846		$	792,945,431		$	526,888	$	1,354,580,165
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(7,736,077	)	$	—	$	(7,736,077	)
Austria		—			(821,480	)		—		(821,480	)
Belgium		—			(1,960,819	)		—		(1,960,819	)
Canada		(14,033,873	)		—			—		(14,033,873	)
China		(49,742	)		—			—		(49,742	)
Denmark		—			(1,612,122	)		—		(1,612,122	)
Finland		—			(184,425	)		—		(184,425	)
France		—			(6,089,818	)		—		(6,089,818	)
Germany		—			(9,621,015	)		—		(9,621,015	)
Israel		(1,923,376	)		—			—		(1,923,376	)
Italy		—			(6,339,678	)		—		(6,339,678	)
Japan		—			(17,278,837	)		—		(17,278,837	)
Netherlands		—			(5,582,602	)		—		(5,582,602	)
Peru		(1,772,250	)		—			—		(1,772,250	)
Singapore		(1,718,393	)		(1,088,175	)		—		(2,806,568	)
Spain		—			(3,633,920	)		—		(3,633,920	)
Sweden		—			(2,941,919	)		—		(2,941,919	)
Switzerland		—			(1,819,074	)		—		(1,819,074	)
United Kingdom		—			(14,958,042	)		—		(14,958,042	)
United States		(97,436,777	)		—			—		(97,436,777	)
TOTAL COMMON STOCKS		(116,934,411	)		(81,668,003	)		—		(198,602,414	)
Preferred Stocks
Germany		—			(1,226,998	)		—		(1,226,998	)
TOTAL PREFERRED STOCKS		—			(1,226,998	)		—		(1,226,998	)
Derivatives^
Futures Contracts
Interest Rate Risk		(64,656	)		—			—		(64,656	)
Swap Contacts
Credit Risk		—			(840,624	)		—		(840,624	)
Total	$	(116,999,067	)	$	(83,735,625	)	$	—	$	(200,734,692	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	369,433,810		$	—		$	—	$	369,433,810
Short-Term Investments		453,320			—			—		453,320
Total Investments		369,887,130			—			—		369,887,130
Total	$	369,887,130		$	—		$	—	$	369,887,130

Description	Level 1		Level 2		Level 3			Total
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	74,560,468	$	—	$	—		$	74,560,468
Short-Term Investments		77,149		—		—			77,149
Total Investments		74,637,617		—		—			74,637,617
Total	$	74,637,617	$	—	$	—		$	74,637,617
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	659,680,691	$	—	$	—		$	659,680,691
Short-Term Investments		815,565		—		—			815,565
Total Investments		660,496,256		—		—			660,496,256
Total	$	660,496,256	$	—	$	—		$	660,496,256
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,455,475	$	—	$	—		$	1,455,475
Australia		—		43,476,782		—			43,476,782
Austria		—		11,328,747		—			11,328,747
Belgium		—		24,159,106		—			24,159,106
Brazil		6,779,957		13,032,670		—			19,812,627
Canada		92,392,522		509,408		1,462,332			94,364,262
Chile		66,076		823,103		—			889,179
China		5,784,536		42,471,866		1			48,256,403
Colombia		10,201		—		—			10,201
Czech Republic		—		596,193		—			596,193
Denmark		—		19,267,921		—			19,267,921
Egypt		—		852,435		—			852,435
Finland		—		11,026,855		—			11,026,855
France		6,302,383		83,081,494		—			89,383,877
Germany		—		28,513,723		—			28,513,723
Greece		—		1,297,970		—			1,297,970
Hong Kong		—		19,263,777		—			19,263,777
Hungary		—		5,962,371		—			5,962,371
India		2,423,278		39,955,847		—			42,379,125
Indonesia		—		8,753,099		—			8,753,099
Ireland		3,499,339		1,424,161		—			4,923,500
Israel		7,660,800		925,112		—			8,585,912
Italy		1,124,046		43,232,787		—			44,356,833
Japan		5,073,414		416,515,555		—			421,588,969
Kuwait		—		51,979		—			51,979
Malaysia		—		3,065,106		—			3,065,106
Mexico		19,917,806		—		0	§		19,917,806
Netherlands		—		54,530,560		179			54,530,739
New Zealand		—		828,665		—			828,665
Norway		—		21,655,896		—			21,655,896
Pakistan		—		1,115,642		—			1,115,642
Philippines		—		151,637		—			151,637
Poland		—		12,331,966		—			12,331,966
Portugal		—		5,077,917		—			5,077,917
Qatar		—		983,415		—			983,415
Russia		—		—		1,105,135			1,105,135
Saudi Arabia		—		535,797		—			535,797
Singapore		—		14,535,883		—			14,535,883
South Africa		—		15,873,518		—			15,873,518
South Korea		4,654,232		39,555,335		—			44,209,567
Spain		—		52,384,057		—			52,384,057
Sweden		—		19,841,607		—			19,841,607
Switzerland		4,865,384		29,454,091		—			34,319,475
Taiwan		14,832,130		49,371,155		—			64,203,285

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Thailand	$	—		$	15,192,900		$	—	$	15,192,900
Turkey		—			11,593,851			—		11,593,851
Ukraine		—			103,403			—		103,403
United Arab Emirates		—			1,118,534			—		1,118,534
United Kingdom		21,948,266			104,294,901			798		126,243,965
United States		603,126,565			—			323,144		603,449,709
Vietnam		—			3,015,729			—		3,015,729
TOTAL COMMON STOCKS		801,916,410			1,273,134,526			2,891,589		2,077,942,525
Preferred Stocks
Brazil		4,295,791			16,037,808			—		20,333,599
Chile		2,106,170			6,325			—		2,112,495
Colombia		1,280,460			—			—		1,280,460
Germany		—			11,202,988			—		11,202,988
Russia		—			—			168,732		168,732
South Korea		—			4,335,966			—		4,335,966
United States		—			—			450,870		450,870
TOTAL PREFERRED STOCKS		7,682,421			31,583,087			619,602		39,885,110
Rights/Warrants
Canada		—			—			222		222
United States		—			—			1,045,460		1,045,460
Vietnam		—			—			53,871		53,871
TOTAL RIGHTS/WARRANTS		—			—			1,099,553		1,099,553
Investment Funds
United States		—			—			10,384,246		10,384,246
TOTAL INVESTMENT FUNDS		—			—			10,384,246		10,384,246
Debt Obligations
Netherlands		—			—			66		66
United States		456,687,395			275,154,162			—		731,841,557
TOTAL DEBT OBLIGATIONS		456,687,395			275,154,162			66		731,841,623
Mutual Funds
United States		17,642,664			—			—		17,642,664
TOTAL MUTUAL FUNDS		17,642,664			—			—		17,642,664
Short-Term Investments		6,398,282			87,681,386			—		94,079,668
Total Investments		1,290,327,172			1,667,553,161			14,995,056		2,972,875,389
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			3,222,579			—		3,222,579
Futures Contracts
Equity Risk		918,572			2,096,677			—		3,015,249
Interest Rate Risk		157,849			—			—		157,849
Physical Commodity Contract Risk		2,393,975			—			—		2,393,975
Swap Contracts
Interest Rate Risk		—			3,724,204			—		3,724,204
Total	$	1,293,797,568		$	1,676,596,621		$	14,995,056	$	2,985,389,245
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(18,828,176	)	$	—	$	(18,828,176	)
Austria		—			(2,015,971	)		—		(2,015,971	)
Belgium		—			(4,868,603	)		—		(4,868,603	)
Canada		(34,779,838	)		—			—		(34,779,838	)
Denmark		—			(3,857,765	)		—		(3,857,765	)
Finland		—			(645,908	)		—		(645,908	)
France		—			(15,349,680	)		—		(15,349,680	)
Germany		—			(23,703,167	)		—		(23,703,167	)

Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Ireland	$	—		$	(3,204,726	)	$	—		$	(3,204,726	)
Israel		(4,667,187	)		—			—			(4,667,187	)
Italy		—			(15,891,270	)		—			(15,891,270	)
Japan		—			(42,323,536	)		—			(42,323,536	)
Netherlands		—			(13,654,116	)		—			(13,654,116	)
Peru		(4,347,315	)		—			—			(4,347,315	)
Singapore		(4,095,372	)		(3,191,309	)		—			(7,286,681	)
Spain		—			(9,177,367	)		—			(9,177,367	)
Sweden		—			(7,088,663	)		—			(7,088,663	)
Switzerland		—			(4,210,408	)		—			(4,210,408	)
United Kingdom		—			(36,798,858	)		—			(36,798,858	)
United States		(293,152,286	)		—			—			(293,152,286	)
TOTAL COMMON STOCKS		(341,041,998	)		(204,809,523	)		—			(545,851,521	)
Preferred Stocks
Germany		—			(3,063,651	)		—			(3,063,651	)
TOTAL PREFERRED STOCKS		—			(3,063,651	)		—			(3,063,651	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,499,161	)		—			(1,499,161	)
Futures Contracts
Equity Risk		(67,981	)		(255,584	)		—			(323,565	)
Interest Rate Risk		(290,888	)		—			—			(290,888	)
Physical Commodity Contract Risk		(9,017,482	)		—			—			(9,017,482	)
Swap Contacts
Credit Risk		—			(1,737,290	)		—			(1,737,290	)
Interest Rate Risk		—			(93,028	)		—			(93,028	)
Total	$	(350,418,349	)	$	(211,458,237	)	$	—		$	(561,876,586	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	287,767,112		$	—		$	—		$	287,767,112
Short-Term Investments		371,459			—			—			371,459
Total Investments		288,138,571			—			—			288,138,571
Total	$	288,138,571		$	—		$	—		$	288,138,571
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	309,332,363		$	—		$	—		$	309,332,363
Short-Term Investments		265,893			—			—			265,893
Total Investments		309,598,256			—			—			309,598,256
Total	$	309,598,256		$	—		$	—		$	309,598,256
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,065,676		$	—		$	1,065,676
Belgium		—			658,072			—			658,072
Brazil		80,409			10,195			—			90,604
Canada		1,954,683			—			—			1,954,683
China		—			770,612			0	§		770,612
Denmark		—			1,123,251			—			1,123,251
Finland		—			502,072			—			502,072
France		174,973			1,489,477			—			1,664,450
Germany		—			537,485			—			537,485
Hong Kong		—			78,951			—			78,951
Ireland		216,641			—			—			216,641

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Israel	$	462,516		$	115,376		$	—	$	577,892
Italy		—			630,102			—		630,102
Japan		—			3,438,661			—		3,438,661
Mexico		469,775			—			—		469,775
Netherlands		—			1,439,891			—		1,439,891
New Zealand		—			51,250			—		51,250
Norway		—			277,418			—		277,418
Poland		—			258,868			—		258,868
Russia		—			—			2,683		2,683
South Africa		—			91,847			—		91,847
South Korea		184,187			967,272			—		1,151,459
Spain		—			1,157,839			—		1,157,839
Sweden		—			658,569			—		658,569
Switzerland		—			554,258			—		554,258
Thailand		—			431,670			—		431,670
Turkey		—			384,697			—		384,697
United Kingdom		517,322			2,079,831			—		2,597,153
United States		20,886,042			—			—		20,886,042
TOTAL COMMON STOCKS		24,946,548			18,773,340			2,683		43,722,571
Preferred Stocks
Brazil		18,927			72,897			—		91,824
Germany		—			665,506			—		665,506
TOTAL PREFERRED STOCKS		18,927			738,403			—		757,330
Debt Obligations
United States		1,351,472			—			—		1,351,472
TOTAL DEBT OBLIGATIONS		1,351,472			—			—		1,351,472
Mutual Funds
United States		161,536,586			—			—		161,536,586
TOTAL MUTUAL FUNDS		161,536,586			—			—		161,536,586
Short-Term Investments		2,044,715			22,999,865			—		25,044,580
Total Investments		189,898,248			42,511,608			2,683		232,412,539
Derivatives^
Swap Contracts
Equity Risk		—			212,297			—		212,297
Total	$	189,898,248		$	42,723,905		$	2,683	$	232,624,836
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,350,061	)	$	—	$	(1,350,061	)
Austria		—			(136,298	)		—		(136,298	)
Belgium		—			(326,241	)		—		(326,241	)
Canada		(2,337,764	)		—			—		(2,337,764	)
China		(25,855	)		—			—		(25,855	)
Denmark		—			(253,802	)		—		(253,802	)
Finland		—			(43,707	)		—		(43,707	)
France		—			(1,073,417	)		—		(1,073,417	)
Germany		—			(1,615,509	)		—		(1,615,509	)
Israel		(297,860	)		—			—		(297,860	)
Italy		(17,262	)		(1,089,993	)		—		(1,107,255	)
Japan		—			(2,963,052	)		—		(2,963,052	)
Netherlands		—			(941,852	)		—		(941,852	)
Peru		(294,023	)		—			—		(294,023	)
Singapore		(261,087	)		(201,294	)		—		(462,381	)
Spain		—			(613,999	)		—		(613,999	)
Sweden		—			(483,378	)		—		(483,378	)
Switzerland		—			(273,383	)		—		(273,383	)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	—		$	(2,522,470	)	$	—	$	(2,522,470	)
United States		(16,428,521	)		—			—		(16,428,521	)
TOTAL COMMON STOCKS		(19,662,372	)		(13,888,456	)		—		(33,550,828	)
Preferred Stocks
Germany		—			(207,283	)		—		(207,283	)
TOTAL PREFERRED STOCKS		—			(207,283	)		—		(207,283	)
Total	$	(19,662,372	)	$	(14,095,739	)	$	—	$	(33,758,111	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2024.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

As of May 31, 2024, Alternative Allocation Fund’s Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 29, 2024		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2024		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2024
Consolidated Alternative Allocation Fund
Common Stocks
Canada	$	352,512	$	—	$	—	$	—	$	—	$	—		$	—	$	—	$	352,512	$	—
Rights/Warrants
United States		425,705		—		—		—		—		39,030			—		—		464,735		39,030
Investment Funds
United States		2,351,936		863,287		—		—		—		(28,421	)		—		—		3,186,802		(28,421	)
Total Investments	$	3,130,153	$	863,287	$	—	$	—	$	—	$	10,609		$	—	$	—	$	4,004,049	$	10,609

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2024.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2024, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $4,004,049. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2024 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Consolidated Alternative Allocation Fund
GMO Resources Fund, Class VI	$	3,309,494	$	—	$	—	$	—		$	—	$	—		$	374,326		$	3,683,820
Benchmark-Free Allocation Fund
GMO Climate Change Fund, Class III	$	—	$	26,000,000	$	1,670,000	$	—		$	—	$	75,561		$	1,812,732		$	26,218,293
GMO Emerging Country Debt Fund, Class VI		105,862,796		—		30,320,264		—			—		1,653,917			1,791,504			78,987,953
GMO High Yield Fund, Class VI		34,788,771		—		8,860,000		—			—		234,902			211,872			26,375,545
GMO Implementation Fund		3,136,528,946		15,417,898		885,991,079		—			—		48,056,880			80,090,487			2,394,103,132
GMO Opportunistic Income Fund, Class VI		138,482,959		2,195,738		36,352,334		1,195,738			—		150,906			82,277			104,559,546
Totals	$	3,415,663,472	$	43,613,636	$	963,193,677	$	1,195,738		$	—	$	50,172,166		$	83,988,872		$	2,630,244,469
Benchmark-Free Fund
GMO Climate Change Fund, Class III	$	—	$	13,000,000	$	—	$	—		$	—	$	—		$	965,580		$	13,965,580
GMO Emerging Country Debt Fund, Class VI		42,834,449		—		—		—			—		—			1,772,460			44,606,909
GMO High Yield Fund, Class VI		13,713,467		—		—		—			—		—			200,421			13,913,888
GMO Opportunistic Income Fund, Class VI		50,710,981		—		—		580,852			—		—			42,259			50,753,240
GMO Resources Fund, Class VI		46,597,781		—		—		—			—		—			5,270,526			51,868,307
GMO U.S. Treasury Fund		1,304,389		88,308,831		46,511,604		—	**		—		—			—			43,101,616
Totals	$	155,161,067	$	101,308,831	$	46,511,604	$	580,852		$	—	$	—		$	8,251,246		$	218,209,540
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	44,599,515	$	1,641,949	$	—	$	—		$	—	$	—		$	552,243		$	46,793,707
GMO Asset Allocation Bond Fund, Class VI		20,011,560		2,130,315		—		—			—		—			(980,868	)		21,161,007
GMO Climate Change Fund, Class III		—		3,670,000		—		—			—		—			272,590			3,942,590
GMO Emerging Country Debt Fund, Class VI		10,841,518		—		—		—			—		—			448,615			11,290,133
GMO Emerging Markets ex-China Fund, Class VI		25,075,781		357,132		14,136,639		357,132			—		(3,644,612	)		3,599,691			11,251,353
GMO Emerging Markets Fund, Class VI		25,266,027		—		4,150,000		—			—		(1,736,496	)		2,644,889			22,024,420
GMO International Equity Fund, Class IV		46,775,391		6,000,000		99,030		—			—		4,435			4,108,162			56,788,958
GMO International Opportunistic Value Fund, Class IV		24,435,325		—		—		—			—		—			2,134,463			26,569,788
GMO-Usonian Japan Value Creation Fund, Class VI		14,671,268		6,800,000		—		—			—		—			380,394			21,851,662
GMO Multi-Sector Fixed Income Fund, Class IV		41,627,708		944,252		—		—			—		—			21,773			42,593,733
GMO Opportunistic Income Fund, Class VI		10,427,550		341,645		—		121,645			—		—			8,818			10,778,013
GMO Quality Cyclicals Fund, Class VI		10,854,557		—		—		—			—		—			536,790			11,391,347
GMO Quality Fund, Class VI		11,152,873		—		285,000		—			—		71,980			187,884			11,127,737
GMO Resources Fund, Class VI		6,389,597		310,143		—		—			—		—			753,647			7,453,387

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO Small Cap Quality Fund, Class VI	$	10,991,749	$	—	$	—	$	—	$	—	$	—		$	130,586		$	11,122,335
GMO U.S. Equity Fund, Class VI		18,492,732		—		516,261		—		—		(23,188	)		1,067,789			19,021,072
GMO U.S. Opportunistic Value Fund, Class VI		25,419,205		—		235,975		—		—		33,145			1,201,191			26,417,566
GMO U.S. Small Cap Value Fund, Class VI		7,198,539		—		—		—		—		—			316,750			7,515,289
GMO U.S. Treasury Fund		602,314		7,399		270,000		7,505		—		—			—			339,713
Totals	$	354,833,209	$	22,202,835	$	19,692,905	$	486,282	$	—	$	(5,294,736	)	$	17,385,407		$	369,433,810
Global Developed Equity Allocation Fund
GMO Climate Change Fund, Class III	$	—	$	735,000	$	—	$	—	$	—	$	—		$	54,592		$	789,592
GMO Emerging Markets ex-China Fund, Class VI		5,035,139		60,362		3,660,000		60,363		—		(421,992	)		421,290			1,434,799
GMO International Equity Fund, Class IV		18,783,784		—		—		—		—		—			1,594,699			20,378,483
GMO International Opportunistic Value Fund, Class IV		6,711,566		900,000		—		—		—		—			602,757			8,214,323
GMO-Usonian Japan Value Creation Fund, Class VI		2,772,982		1,460,000		—		—		—		—			73,687			4,306,669
GMO Quality Cyclicals Fund, Class VI		3,569,199		—		—		—		—		—			176,507			3,745,706
GMO Quality Fund, Class VI		10,982,867		—		24,711		—		—		5,935			245,978			11,210,069
GMO Resources Fund, Class VI		1,776,813		—		—		—		—		—			200,969			1,977,782
GMO Small Cap Quality Fund, Class VI		3,593,635		—		—		—		—		—			42,694			3,636,329
GMO U.S. Equity Fund, Class VI		4,444,399		565,000		—		—		—		—			270,980			5,280,379
GMO U.S. Opportunistic Value Fund, Class VI		10,805,838		—		—		—		—		—			524,128			11,329,966
GMO U.S. Small Cap Value Fund, Class VI		2,161,270		—		—		—		—		—			95,101			2,256,371
Totals	$	70,637,492	$	3,720,362	$	3,684,711	$	60,363	$	—	$	(416,057	)	$	4,303,382		$	74,560,468
Global Equity Allocation Fund
GMO Climate Change Fund, Class III	$	—	$	7,400,000	$	1,400,000	$	—	$	—	$	75,578		$	451,266		$	6,526,844
GMO Emerging Markets ex-China Fund, Class VI		73,264,436		1,045,359		42,105,940		1,045,359		—		(12,166,678	)		12,125,625			32,162,802
GMO Emerging Markets Fund, Class VI		81,077,912		—		20,371,471		—		—		(7,581,648	)		11,007,286			64,132,079
GMO International Equity Fund, Class IV		146,614,835		7,800,000		26,780,699		—		—		939,895			10,994,749			139,568,780
GMO International Opportunistic Value Fund, Class IV		71,886,834		7,725,000		12,659,747		—		—		1,545,015			4,532,312			73,029,414
GMO-Usonian Japan Value Creation Fund, Class VI		29,422,703		14,078,063		4,362,230		—		—		(74,894	)		768,589			39,832,231
GMO Quality Cyclicals Fund, Class VI		36,774,104		—		5,586,391		—		—		(693,827	)		2,430,085			32,923,971
GMO Quality Fund, Class VI		89,975,382		137,963		13,622,799		—		—		2,792,066			(769,035	)		78,513,577
GMO Resources Fund, Class VI		20,138,162		—		2,717,000		—		—		(64,632	)		2,314,867			19,671,397
GMO Small Cap Quality Fund, Class VI		37,334,995		—		4,422,284		—		—		777,079			(413,070	)		33,276,720
GMO U.S. Equity Fund, Class VI		37,610,164		—		6,584,119		—		—		(957,602	)		2,960,748			33,029,191
GMO U.S. Opportunistic Value Fund, Class VI		88,911,262		8,220,135		14,527,846		—		—		1,782,172			2,547,290			86,933,013
GMO U.S. Small Cap Value Fund, Class VI		21,639,012		—		2,445,000		—		—		(37,790	)		924,450			20,080,672
Totals	$	734,649,801	$	46,406,520	$	157,585,526	$	1,045,359	$	—	$	(13,665,266	)	$	49,875,162		$	659,680,691

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	3,301,486	$	43,262,021	$	28,920,843	$	—	**	$	—	$	(24	)	$	24		$	17,642,664
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	21,157,581	$	829,760	$	16,391,760	$	283,607		$	—	$	(3,347,501	)	$	3,334,074		$	5,582,154
GMO International Equity Fund, Class IV		185,602,298		657,567		—		—			—		—			15,799,673			202,059,538
GMO International Opportunistic Value Fund, Class IV		47,858,092		8,325,000		154,079		—			—		17,916			4,416,961			60,463,890
GMO-Usonian Japan Value Creation Fund, Class VI		10,805,125		8,790,544		232,988		—			—		(3,648	)		302,497			19,661,530
Totals	$	265,423,096	$	18,602,871	$	16,778,827	$	283,607		$	—	$	(3,333,233	)	$	23,853,205		$	287,767,112
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	24,272,532	$	252,834	$	15,558,690	$	252,834		$	—	$	(4,388,691	)	$	4,468,493		$	9,046,478
GMO Emerging Markets Fund, Class VI		89,931,600		182,481		8,864,595		—			—		(3,445,058	)		7,059,623			84,864,051
GMO International Equity Fund, Class IV		142,434,181		1,224,714		8,392,566		—			—		122,556			11,608,439			146,997,324
GMO International Opportunistic Value Fund, Class IV		36,353,186		7,875,000		560,018		—			—		49,667			3,338,949			47,056,784
GMO-Usonian Japan Value Creation Fund, Class VI		12,374,718		9,725,000		1,053,214		—			—		(16,089	)		337,311			21,367,726
Totals	$	305,366,217	$	19,260,029	$	34,429,083	$	252,834		$	—	$	(7,677,615	)	$	26,812,815		$	309,332,363
Strategic Opportunities Allocation Fund
GMO Asset Allocation Bond Fund, Class VI	$	13,007,297	$	—	$	—	$	—		$	—	$	—		$	(599,721	)	$	12,407,576
GMO Climate Change Fund, Class III		—		2,430,000		—		—			—		—			180,489			2,610,489
GMO Emerging Country Debt Fund, Class VI		8,676,483		—		1,570,000		—			—		(561,830	)		895,993			7,440,646
GMO Emerging Markets ex-China Fund, Class VI		17,963,445		249,814		13,640,000		249,814			—		(2,217,203	)		2,208,625			4,564,681
GMO Emerging Markets Fund, Class VI		16,002,271		—		5,100,000		—			—		(1,396,972	)		1,931,555			11,436,854
GMO International Equity Fund, Class IV		31,688,550		7,000,000		5,610,000		—			—		1,014,452			1,626,312			35,719,314
GMO International Opportunistic Value Fund, Class IV		18,074,314		—		2,940,000		—			—		340,033			1,137,020			16,611,367
GMO-Usonian Japan Value Creation Fund, Class VI		10,795,220		5,000,000		1,400,000		—			—		252,538			34,949			14,682,707
GMO Multi-Sector Fixed Income Fund, Class IV		6,634,466		1,175,000		680,000		—			—		(800	)		(14,671	)		7,113,995
GMO Quality Fund, Class VI		8,637,364		—		1,665,000		—			—		432,310			(286,008	)		7,118,666
GMO Resources Fund, Class VI		4,563,997		—		—		—			—		—			516,220			5,080,217
GMO Small Cap Quality Fund, Class VI		8,341,628		—		1,000,000		—			—		189,627			(91,335	)		7,439,920
GMO U.S. Equity Fund, Class VI		11,100,197		—		2,250,000		—			—		(43,782	)		623,893			9,430,308
GMO U.S. Opportunistic Value Fund, Class VI		18,332,068		—		2,700,000		—			—		393,726			528,248			16,554,042
GMO U.S. Treasury Fund		3,277,055		48,749		—		48,749			—		—			—			3,325,804
Totals	$	177,094,355	$	15,903,563	$	38,555,000	$	298,563		$	—	$	(1,597,901	)	$	8,691,569		$	161,536,586

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through May 31, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $59,504 and $33,147 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

***

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.